Technological Highlights

• Based on OPAS:
  RiskEye's SPOT model is based on OPAS, and thus takes advantages of cutting edge, scenario conditional integration of trading, portfolio optimization and risk management. In addition, transaction costs and cost of carry are fully taken into account.

• Scenario driven:
  The portfolio is determined conditional to scenarios, which represent a certain view on the future evolution of the market. Scenarios determine the trading strategy. They include price or volatility forecasts of one or several instruments. Since scenarios are external to the system, customization with new forecasting algorithms can be done almost instantaneously. We can provide our customers with the possibility to integrate their own trading experience into the system.

• Portfolio trading:
  SPOT uses portfolio optimization techniques to determine the trading recommendations for the instruments in a portfolio. Every set of recommendations is based on a Monte-Carlo simulation of thousands of possible paths of future evolution of the risk factors underlying the portfolio. The simulation is biased by the scenario and computes the scenarios' implications on all the instruments by Drift Inheritance^TM, a technology developed for OPAS by O&A. The simulated probability density of returns is used as input for portfolio optimization. Correlations in the market are detected and exploited, and advantage from diversification is fully taken into account.

• Integrated risk management:
  We consider risk management as an integrated part of the trading decision. Risk management related aspects are taken into consideration by the optimizer, resulting in a portfolios adjusted to user-determined risk level. To further increase the precision of risk measurement, a second simulation is carried out. This additional simulation is not biased by the scenario and is solely used to calibrate VaR evaluation.

• Means for diversification:
  The SPOT approach is completely different from the traditional O&A trading models. Therefore, it's ideal for diversification of an existing portfolio of trading models.