Analysis Designer Overview

Analysis Designer allows configuring parameters for running risk reports.

Risk reports can be run using the following methods:

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Using the scheduled task RISK_ANALYSIS to save results to the database and/or to a file - Saved results can be viewed in the Calypso Workstation using the risk servers.

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In real-time using the risk servers - The results are displayed in the Calypso Workstation.

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On-the-fly in the Trade Blotter and Pricing Sheet using the On Demand analysis function - Refer to Trader Blotter documentation and Pricing Sheet documentation for details.

 

From the Calypso Navigator, navigate to Configuration > Reporting & Risk > Analysis Designer to bring up Analysis Designer.

Sample Analysis Designer

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You can browse the analyses that are already configured on the left-hand side. There is one folder for each type of analysis.

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Benchmark, Investment Indicators, Investment PL, Performance Measurement, Parametric VaR, Active

Refer to Calypso Portfolio Workstation documentation for details.

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Simulation - Allows simulating how market movements impact the financial institution’s portfolios.

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Sensitivity - Allows showing the discrete sensitivity of a portfolio’s value to changes in the value of the market data used to price the portfolio.

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Multi Sensitivity - Allows running a bundle of existing Sensitivity Analyses and producing a single, aggregated report.

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Option Lifecycle - Allows monitoring exercise and barrier information for options.

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Reset Risk - Allows calculation of the total notional value of a portfolio’s at-risk trades on the reset dates of those trades.

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Sales Margin - Displays sales margins from trade capture.

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Forward Ladder - Allows monitoring product positions and/or cashflows.

Refer to Calypso Liquidity documentation for details.

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Official P&L - Allows reporting P&L figures across all asset classes through product positions.

Refer to Calypso Official P&L documentation for details.

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FO Live P&L - Used for Taylor methodology P&L in Front Office Workstation.

Refer to Calypso Front Office Workstation documentation for details.

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Ladder Live P&L - Used for spot ladder methodology P&L in Front Office Workstation.

Refer to Calypso Front Office Workstation documentation for details.

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Pricing - Calculates the values of any set of user selected pricer measures for a given set of trades and positions, as defined by the trade filter selected when the report is run.

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Credit Exposure - Allows monitoring counterparty credit risk and issuer risk.

Refer to Calypso Compliance documentation for details.

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Order - Allows monitoring orders and their executions.

Refer to Calypso Orders Management documentation for details.

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SACCR - Used to create the SA-CCR report.

Refer to the Regulatory Risk documentation for details.

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To add a risk report configuration, right-click a folder and choose "New Analysis" from the popup menu. You will be prompted to enter a configuration name.

You can then set the parameters on the right-hand side.

Click the links below for details on the parameters.

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Sales Margin

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Sensitivity

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Simulation

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Multi Sensitivity

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Option Lifecycle

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Reset Risk

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Pricing

 

 Ⓘ   [NOTE: Other types of risk reports can be configured through the Risk Config window or the Calculation Server Configuration window]

 

Custom Pricer Measures

NOTE: Custom Pricer Measures which require market data in addition to what is already managed by the Pricer are not supported (e.g. ACCURAL_BO_BASE, VEGA_BASE). Any “Base” conversions can be configured to occur at report level.

 

Help

You can right-click the Analysis label and choose "Calypso Online Help" to bring up detailed documentation about Analysis Designer.

You can right-click the Analysis label and choose "Show Help Area"; so that when you select a given parameter, a Help message is displayed at the bottom of the window as shown below.

Sample Help message