Fortis Clearing has dedicated
risk management operations across the globe. Teams in Sydney, Amsterdam and Chicago
monitor the entire customer base on a daily and intra-day basis.
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Fortis Clearing Correlation Haircut (COH)
Fortis Clearing
risk management teams utilize a proprietary risk model to apply a uniform global
set of risk parameters to all customer accounts. Regardless of where the trade resides, our
"Correlation Haircut" (COH) model ensures all customers receive identical risk treatment.
The COH measures the post trade market risk in a portfolio and as a result,
is independent from the venue of trading.
Fortis Clearing then applies a
portfolio approach to calculate correlations and offsets based on the entire portfolio
within that asset class.
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Fortis Clearing uses a dynamic set of risk parameters
derived from the variables observed in the market: correlations and (implied) volatilities.
These dynamic parameters determine the amount of offset and the applicable scanning
arrays.
Fortis Clearing continuously ensures the COH and other risk models
accommodate new product types in the market. Every six months Fortis Clearing releases
an updated version of the COH containing enhancements and adjustments ensuring market
risk is captured and measured adequately in the face of new market conditions.
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In addition to the overnight monitoring
process, intra-day both the Profit and Loss (P&L) and COH numbers are available
to the risk management staff.
Fortis Clearing also installs pre-trade order,
position and P&L limits for customers trading through our infrastructure.
Staff updates these limits on a regular basis to ensure that the potential exposure
is in alignment with the equity in the account.
We welcome the opportunity to discuss how our international team of professionals can provide you with our world-class risk management
services.
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©2009 Fortis Clearing Americas LLC
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