Risk Reporting

A Report Definition is a named, reusable template specifying what to compute. It contains no trade or market data. It captures:

• The report type (which valuation and bumping methodology to use)
• The Greek set (which measures to compute and in what form)
• All configuration parameters (bump sizes, smile model, roll method, display currency, aggregation level, etc.)

Report Definitions can have multiple saved configurations. For example, a trader may maintain a ".1 Triple — Asia EM" configuration and a ".1 Triple — G10" configuration from the same report type.

ORE equivalent: An analytics block in ore.xml plus the associated sensitivity.xml / stresstest.xml configuration.

A Report Instance is a specific execution of a Report Definition against concrete inputs: a trade population snapshot, a market data snapshot, and a valuation date. Instances are versioned and reproducible; all inputs are captured at run time.

A Measure is a single computable quantity for a trade or portfolio. Measures are either base valuations (PV, NPV) or sensitivities (Greeks). The set of measures to compute is defined by a Greek set attached to the report.

A Greek Set is a named, reusable collection of measures. Users define sets appropriate to their role (e.g. a vol desk set: PV, Vega, Rega, Sega, Gamma; a rates desk set: PV, Delta, DV01, Rho). A report may reference one or more Greek sets.

Results may be produced and viewed at multiple levels of the organisational hierarchy:

Trade → Structure → Book → Sub-Portfolio → Portfolio → Branch → Firm

Each book belongs to one branch and carries one aggregation currency. Risk figures at book level and above are converted to the aggregation currency.

All eod reports are scheduled by definition.

The standard method for computing sensitivities. The valuation engine is called twice: once with the base market data and once with a single input perturbed by a small bump. The Greek is the finite difference:

\[\text{Greek} = \frac{PV(\text{bumped}) - PV(\text{base})}{\text{bump size}}\]

Bump parameters:

• Bump size: Magnitude of the perturbation (e.g. 0.1 vol point, 1 bp, 1% spot).
• Bump type: Absolute (add the size) or relative/multiplicative.
• Bump count: Number of symmetric bumps for grid reports (e.g. ±1%, ±2%, ±5%).
• Which underlyings to bump: Specific currency pairs, specific tenors, or all.

For certain product/model combinations the sensitivity has a closed-form expression (e.g. Black-Scholes Delta: \(\Delta = e^{-r_f T} N(d_1)\)). Where supported, analytic Greeks are faster and more precise than bumped Greeks.

A P&L attribution methodology. Each market data component is perturbed independently while all others remain at their Day 0 levels. Individual components are additive up to cross effects. Full description in P&L Attribution.

A cumulative P&L attribution methodology. Bumps are applied in a defined sequence; each step adds one more component on top of all previously applied bumps. Full description in P&L Attribution.

An approximation of P&L resulting from a hypothetical market data move, computed from stored Greeks rather than by re-running the valuation engine:

\[\Delta P\&L \approx \sum_i \text{Greek}_i \times \text{Shift}_i + \tfrac{1}{2} \sum_i \Gamma_i \times \text{Shift}_i^2\]

For spot deltas the market movement is computed as a relative change: \(MM = (D_1 - D_0) / D_0\), not an absolute shift. Greeks must be re-centred against the spot rates matrix before the predict is computed. Risk Predict is used by Finance to scale IPV Greeks by the difference between internal and independent rates, producing the IPV risk number.

Note: Risk Predict is an approximation. Cross effects and higher-order terms beyond second order are not captured.

Purpose: Displays the most important Greeks across the entire trade set for a book or portfolio. The primary real-time risk overview report for traders and risk managers. Provides high-level sign-off visibility on the current state of risk.

Measures: Configurable; typically PV, Daily P&L, MTD P&L, YTD P&L, Delta P&L.

Aggregation: Book, Portfolio, Currency Pair, Greek, Unit Hedge.

Purpose: For a given currency pair, shows the full forward curve (all tenor outright rates) in a ladder format. Primary tool for quoting and hedging at specific tenors.

Measures: Forward outright rates at each tenor; optionally swap/forward points. Aggregation can be "Out of Today", "Out of Tomorrow", or "Out of Spot" (see Time Structures and Tenors).

Purpose: Displays P&L and Delta at a grid of spot shift levels. Answers "what happens to my P&L if spot moves by X%?" Provides a scenario view of directional risk; used by market risk for stress testing.

Measures: Per shift level: Daily P&L, MTD P&L, YTD P&L, P&L Impact, BS equivalents, PV, Delta, BS Delta.

Purpose: Headline sensitivity report combining vol sensitivity (Vega) and skew sensitivities (Rega, Sega) across all curve tenors at multiple spot shift levels. The primary vol risk overview report. Splits exotic and vanilla populations separately.

Measures: Per tenor × per spot shift: Vega, Rega, Sega. Standard shift series: 30, 20, 10, 5, 2, 1, 0.5, 0.

Purpose: Measures sensitivity to a parallel 0.1-unit shift in ATM volatility, broken out by currency pair and tenor.

Purpose: Measures the combined effect of bumping ATM + RR + STR simultaneously by 0.1. Captures total vol sensitivity including smile structure. Equivalent to shifting the entire vol surface by 0.1 while preserving its shape.

Purpose: Extension of the Triple adding a fourth vol surface component. Used for surface models with a fourth degree of freedom beyond ATM/RR/STR.

Purpose: Measures the effect of a 0.1% change in interest rates at each point in the rate term structure. Discount and projection effects shown separately.

Purpose: Measures sensitivity to Risk Reversal and Strangle independently (not combined as in Triple). Separates the skew contribution (Rega) from the wing/curvature contribution (Sega).

Purpose: Shows the P&L effect of simultaneously bumping ATM vols and interest rates across a grid of joint shift levels. Captures the cross-sensitivity between rates and vols.

Example axes: Rho: −25 bps to +25 bps in 5 bp increments; Vol: −2% to +10%.

Purpose: Sensitivity to simultaneous spot and vol shifts across a grid.

Purpose: Combined spot and interest rate sensitivity matrix.

Purpose: Spot sensitivity across all currency crosses at standard shift levels. EOD market risk version is a systematic run across all books and all currency pairs, distinct from the trader's real-time Spot Ladder.

Purpose: Trade-level spot and vol sensitivity report, produced separately for the base currency and the quote currency.

Purpose: Spot ladder at trade level where the premium currency is the bumped spot underlier. Used for structures where the option premium currency differs from the base currency.

Purpose: Audit report. For any vol surface adjustments (e.g. wing stabilisation, smile corrections), reports the adjustment made by tenor and adjustment type. Provides transparency between raw market quotes and the vols actually used in pricing.

Purpose: Per currency pair, a visual map of option notional concentration (or theoretical value) against expiry date and spot level. Helps traders identify large concentrations of barrier and digital risk across time and spot space.

Modes: American Notional, American TV, European Notional, European TV.

Purpose: Similar to the Spike Map but bucketed by option strike rather than expiry date. Shows notional concentration across strike space at each tenor.

Purpose: Combines the traditional option map (bucketed by delta) with a strike view. Unified view of notional distribution across both delta and strike.

Purpose: Shows how market data and risk have changed since a configurable reference time. Provides a continuous intraday P&L attribution without requiring a full EOD explain run.

Purpose: Quantifies the P&L difference between internal bank rates and independently sourced rates (the IPV cut). Used by Finance to identify mis-marks. Greeks are always computed even for points with no IPV data, so uncovered risk is visible.

Measures: PV at EOD rates, PV at IPV rates, difference (IPV adjustment), scaled risk (IPV risk number = Greek × IPV market data move).

Purpose: Shows all trades booked since a specified date-time. Used for morning review and monitoring activity on shared books.

• Smile model: SABR, 5-point spline, Black-Scholes (flat). Per-currency-pair overrides; a default is applied when no override exists.
• ATM curve interpolation: Interpolation type for the ATM vol term structure.
• Rates interpolation: Interpolation for discount and projection curves.
• Vol interpolation: Market or Physical (see Pricing Configuration).
• Value past coupons: Whether to include cash flows before the valuation date.
• PV offset in days: Number of spot days used for discounting.

• Bump size, bump type (absolute / relative), bump count.
• Which underlyings to bump (specific pairs, all pairs, specific tenors).
• Whether to bump model term-structure parameters (e.g. SABR correlation).

• Number of simulations, use of Sobol, Brownian bridge, number of time steps, number of spatial points.

• Spot roll method: Fixed roll or other; how spot is treated when advancing the valuation date.
• Vol roll method: How vol tenors roll with time.
• Date steps: Weekday only vs. calendar day.
• Days forward: Number of days to roll for theta/multi-day risk.

• Display currency, aggregation currency, aggregation mode.
• Summary levels: Book, Sub-Portfolio, Portfolio, Branch.
• Threshold filters (min/max Greek value) for Headline-style reports.