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Technology

CubeLogic Launches Real-Time Cloud Native VAR (Value at Risk) Engine

Richard Powell  2 min read
CubeLogic launches a real-time cloud native parametric VAR (value at risk engine) to help energy and commodities trading firms to quantify, visualize and control their market exposure across the entire portfolio.

 

CubeLogic is an industry leader in credit, market and compliance risk software that enables global energy trading companies and financial institutions to transform their risk management operations into modern digital experiences.    In addition to cutting-edge VAR analytics, RiskCubed carries out other computationally complex calculations related to credit, market, and compliance risks.    In 2022, markets were turbulent and are expected to remain challenging in the coming year. More firms are finding themselves in situations where they need to have better way to value and analyze the market risk in their energy and commodities trading book quickly and accurately, so they would have a clearer picture of their vulnerabilities in a volatile and uncertain environment.    “Detecting risk and assessing magnitudes is at the core of our dynamic market risk management strategy”, says Richard Gambrill, Finance and Risk Manager at Aygaz UK. “Using CubeLogic’s VAR engine (CubeCalcVR) we are able to run dynamic and integrated risk management program, which allows us to stay within our allocated risk limits.”

 

CubeCalcVR is a real time VAR engine that can source data via API from trade capture systems to satisfy the growing demand from customers for ultra-fast real -time risk assessment of trading portfolios.Parametric VAR, being purely analytical with no time-consuming simulation involved, is well suited for true real-time risk engine. VAR is incrementally and instantly refreshed as prices and positions are updated.  Correlations between all the curves are automatically updated and used to compute VAR alongside the trade data. Our solution requires about 90 days of history and is fast, real time and lightweight. It is well suited for commodities markets due to common issues with time series data quality and its seasonal nature; only taking into account 2-3 months of data you cope with trends and market events faster. When your portfolio consists of linear transactions, parametric VAR is accurate and the fastest model to calculate risk. 

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