Calypso ERS (Enterprise Risk Service)

An innovative new solution for the requirements of financial institutions, Calypso® ERS simplifies the process of risk management and control. As volumes in derivatives trading grow and the products in global capital markets become ever more complex, the demands placed on an institution's risk management process and infrastructure increase. Regulatory requirements and greater transparency demanded by investors add to this pressure on a financial institutions risk management infrastructure.

Calypso® ERS is built on Calypso's advanced technology platform, with the risk management user specifically in mind. It delivers timely, accurate and comprehensive risk measures to a user's desktop. Dedicated risk engines on a compute grid are responsible for calculating and updating these risk measures. Drill-down and roll-up capabilities allow users to quickly identify areas of concern and explain the source of risk.

Market risk managers or controllers can use Calypso® ERS to view the current snapshot of all key risk measures for each of the portfolios they are responsible for. These measures include:

Risk Factor Sensitivities - Calypso® has Delta, Gamma, Vega and other Greek analyses for managing cash and derivative positions in FX, Rates, Credit, Equity or Commodity markets.

Value at Risk (VaR) - Calypso® runs historical simulation VaR with access to the complete simulation results, combined with sophisticated drill-down and attribution analysis allowing full exploration and explanation of VaR results.

Back Testing - Back testing according to the BIS regulatory requirement is executed in Calypso®, with either hypothetical P&L or actual P&L and the identification and investigation of exceptions.

Stress Testing - Stress testing of portfolios against extreme moves in risk factors can be run in Calypso® with the ability to view results by common dimensions of risk and drill-down to individual positions.