Desk Risk Monitoring Overview

ABOUT CALYPSO DESK RISK MONITORING

The risk reports available in Calypso can be loosely grouped into two categories.

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The first category comprises reports that produce factual data on the current status and what has happened in the past, like Accrual Period.

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The second category comprises reports that examine what might happen in the future under different scenarios and simulations, like Simulation, Sensitivity and Scenario.

See Introduction to Risk and Hedging for an overview of the Calypso approach.

Configuring Risk Reports

Running a risk report requires the configuration of risk report parameters, so that you can define what you want to analyze.

Risk report parameters can be specified from:

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The Risk Config window.

See Risk Configuration for details.

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From the Calculation Server Configuration window.

See Calypso Workstation for information on configuring risk reports in a Calculation Server.

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From Analysis Designer (for Forward Ladder, Simulation, Sensitivity, Multi Sensitivity, Option Lifecycle, Reset Risk, Sales Margin).

See Analysis Designer for details.

Each type of risk report requires a different set of parameters.

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.

See Calypso Workstation for details.

Running Risk Reports on the Data Grid

See Data Grid for Risk Reports for details.

Troubleshooting Risk Reports

Please contact Calypso Product Support for information on enabling the Verbose mode.

Download PDF - Risk Configuration