Rubber
Rubber plantations are cantered in South East Asia with benchmark
markets for risk management having in Thailand, Indonesia, Malaysia,
India and Japan (TOCOM). Being plantation crop, rubber manufacturer are
perianal long in their books. As the rubber productivity is depending on
the congenial weather conditions, Rubber prices are seasonal in nature
and volatile. Synthetic rubber competes to compliment the natural rubber
on favourable spreads. Adding to these uncertainties, the demand of
natural rubber is highly depend on the auto sector growth and economic
activity.
TransRisk VaR algorithm is equipped to understand the above said
commodity characters in order to quantify the market price precisely.
Being it is centrifugal latex, dipped goods or rubber sheets
TransRisk can convert the underlying exposure to commodity exposure that
can be hedged in exchanges or OTC structures based the business
practices.
TransRisk effectively handles the basis contracts in rubber industry.
Basis contracts between two physical assets with varied mapping price
securities data add a feather to the crown.
Risk arising from the currencies can be viewed exclusively as a part
of a vertical that is completely disjointed or may choose to have
combined portfolio from the commodities vertical thereby enabling the
distinct viewing and analysis of currency and commodity risks. There
will be no need to invest on risk management software separately for
currency.
Management Dash Board
A graphical as well as tabular view of the critical
reporting aspects in a single shot along with the limit utilization of
the generated alerts. A multipurpose dashboard with customization
options to suit the never-ending and ever -changing business needs.
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- Analyze quantities and risk profiles of open & closed positions counterparty party-wise
- Analyze quantities and risk profiles of positions due month-wise
- For different rubber products, change in total VaR & per ton VaR
- For different counterparties, Component VaR & Quantity along with change
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Risk Simulation Lab
Simulate various risk calculation and exposure parameters
to generate what-if scenarios. Flexible enough to carry out volatility
shift analysis and exposure shift analysis along stress testing.
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- Simulation scenarios by changing volatility & correlation parameters
- Change portfolio quantities, current market price & other exposure measures
- Change configuration settings for VaR calculation
- For simulated scenarios, see how risk & market value changes
- After changing exposure data, understand how P&L & net cost changes multi-dimensionally
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Price Analytics
Utilize price data for arriving at derivative valuation,
Basis Risk analysis, volatility correlation matrix, variance covariance
matrix along with technical analysis charts. Backtest the VaR parameters
to verify the accuracy. Derive the premium value & sensitivities
(Greeks) of simple and exotic derivatives.
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- Risk in grade premiums / discounts ? +ID SIR 20 vs-TH RSS3, -TH TSR20, -MY SMR20
- Basis risk while hedging physical rubber? +TH RSS3 vs –JP TOCOM 6m
- How about a RSS4 spread strategy? +Bangkok Spot vs Kottayam Spot
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- Volatilities & correlations for a group of price securities
- Validate VaR methodology by back testing to see how many times VaR exceeded actual losses
- Different types of technical charts to analyse security price movements
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Limits & Alerts
Define internal or compliance related limits on exposures,
P&Ls and Risk matrix on traders, commodities, trading desks,
positions, markets, etc. and get system generated alerts on limit
breaches with additional facility of alerts mailed to concerned
personnel. Combine various alerts to have meta alerts.
Data Center
Manage position & price securities data and analyse the
trends of Price, Volatility, VaR on price data. Configure risk matrix
parameters for VaR calculation. Flexibility to group similar users under
a single role and implement a role based provision of features and
modules to access the critical data. Define exposure and risk /
volatility mapping rules.
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- Trend for price, volatility, VaR etc of price securities
- Easy-to-use Rules Engine for mapping price securities to positions
- Configure data & module level access for different roles as per business need
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Dash Board
Analytics
Lab
Analytics
Alerts
Configuration
