GBST RMS™ enables brokers to better manage their client risk, in real time, providing in-depth analysis and what-if scenarios to anticipate market volatility.

Robust and Flexible Risk Management

RMS™ assesses portfolio risk using the methodology employed by ASX for derivatives. In addition to calculating margin for production scenarios, RMS enables unlimited what-if scenarios allowing brokers, for example, to routinely stress-test all open positions before commencement of trade to quickly assess the impact of overnight movements in overseas exchanges.

Customised adhoc what-if scenarios can also be performed at any time, allowing for changing price, volatility and margin intervals.

Improved Client Service through Front Office intergation

RMS™ allows advisers to view the risk for their client accounts, and also have the ability to enter 'what-if' trades, and see the resulting premium and margin changes instantaneously.

Audit capabilities

RMS™ offers control of system paramaters that govern access and how it operates. Broker administrators can also display an audit trail of important changes to data held within the system.

GBST RMS™

Features & Benefits

Features and Benefits At a Glance

Perform Risk Management across production and what-if scenarios
Calculate margins using the ASX standard TIMS method, resulting in excess/shortage for accounts
Allow changing price, volatility and margin interval in what-if scenarios
Supports facilities to view, compare and analyse the results of various scenarios
Provide what-if margin calculations based on a potential new order
Interface to GBST’s Derivatives Client Accounting (DCA™) system:
1. to update client open position
2. to update margining information, as received from ASX Derivatives Clearing System (DCS)
Interface to Microsoft Excel to allow further analysis and reporting of results
Provide breakdown of margins by accounts, products, and advisers
Displays views of excess/shortage and margin breakdown for an account
Supports breakdown of premium and risk margins by products or series for an account
Presents views of the open position of an account
Provide views of margining parameters
Displays views of theoretical prices as used in margin calculations
Calculate option volatilities and greeks
Allow control of system parameters that will govern the operation of RMS™.
Control access to RMS™.
Display an audit trail of important changes to data held within the system.

GBST RMS™

Data Currency

Stand-alone database

RMS™ has its own database containing margining parameters, open positions, cash balances, collateral details, dividend information and prices for all option series, futures contract months and underlying products. This database is loaded from DCA™ on a daily basis.

For intra-day updates, RMS should also be provided with regular uploads of underlying equity prices and index values. These prices will be used to revalue derivatives.

RMS™ Processing

RMS™ uses the same methodology employed by ASX to assess portfolio risk

In brief, relationships are established between derivative products that have high price correlation; these related products are grouped into Margin Groups. RMS™ assesses the risk of the portfolio of derivative products within a Margin Group using a pre-defined sampling basis over a range of possible scenarios (i.e. 5 equal increments in underlying price and 5 equal decrements in underlying price).

Theoretical option prices are calculated for each scenario and the change in the liquidation value of the portfolio is determined.

Additionally, Margin Group can be grouped together to form a Product Group and within a Product Group a percentage of credit margin for one Margin Group can be used to offset the debit margins of other Margin Groups

Routine ‘What-If’ Requests

Unlimited what-if scenarios allow you to stress-test all open positions before the commencement of trading.

At the commencement of each business day, RMS™ will calculate an unlimited number of ‘what-if’ scenarios. These ‘what-if’ scenarios can be considered to be routine stress tests. For example, it is possible to configure RMS™ so that prior to the commencement of each business day it computes a risk assessment for all accounts based upon a series of scenarios ranging from a 30% decline through to a 15% increase in market prices computed at 5% intervals (i.e. 30% down, 25% down, 20% down, ….. 10% up and 15% up).

The routine ‘what-if’ scenarios are processed by the RMS™ End-of-Day process using positions reflecting all activities (including exercise and assignment). The results for all scenarios are stored within RMS™ and are available for review prior to market opening the next business day.

Consequently, in the event of significant overnight price movements on overseas exchanges the possible impact on your operations and the Australian market can be quickly assessed.

Ad Hoc ‘What-If’ Requests

Perform a what-if scenario at any time

At any time you can request RMS™ to process a ‘what-if’ request immediately. The ‘What-if’ scenario can relate to changes effecting all options or just those options over a particular underlying product or a selection of underlying products. The ‘What-if’ scenario can involve a change to underlying price and/or implied volatility and/or margin interval.

he results from the ad hoc ‘What-if’ request are made available within a few minutes of the request being made. There is no limit to the number of requests that can be made and the results relating to each request are preserved for the remainder of the day.

‘What-If’ Trades

Check cash and margin effects with each trade

At any time, you can request RMS™ to process a ‘what-if’ trade immediately. This will show the change to the cash and margin resulting from this trade in any scenario.

User Interface

Graphic risk profiling and Excel integration

The RMS™ user interface is designed to present a large amount of information in an easy to comprehend manner. From the range of initial high-level views, drill-down capability is provided to support analysis of risk at a very low level.

Results are presented in both numerical and graphical formats. Additionally, the interface to Microsoft Excel is provided to assist with further data analysis and inclusion of results in management reports.

RMS

Overview