"Value-at-Risk analysis is a fundamental tool that will aid CalPX in monitoring and adjusting risk margins for our rapidly growing number of market participants," said CalPX, President and CEO, George Sladoje. "VaRworks SE will also allow us to rapidly integrate FEA’s VaR methodologies and begin generating reports and analysis customized for each of our market members."
Once integrated VaRworks SE’s dynamic risk analysis and reporting environment will enable CalPX to deliver customized risk profiles to each of its nearly 90 participants. CalPX members will be able to access risk and margin reports through spreadsheet, web browser, or other on-line publishing applications.
CalPX’s integration of FEA’s VaRworks SE is the first of its kind. According to Mark Garman, FEA’s Chief Scientist and President, "We’ve noted growing interest among trading exchanges like CalPX seeking to incorporate value-at-risk methodologies into their margin evaluation policies. VaRworks SE’s object-oriented modeling environment and precise "drill-down" technology ideally meet this need."
VaRworks SE delivers FEA’s powerful risk analysis methodologies in a scalable solution enabling enterprise-wide access via client-server architecture. Easy-to-use toolkits speed multi-database connectivity and the production of highly customizable reports. One of the most important benefits of VaRworks SE is its highly flexible VaR drill-down capabilities, allowing precise identification of the sources of risk, a patented FEA technology. This unparalleled drill-down VaR technology permits multi-level analysis of correlations and diversification effects across an entire portfolio as well as between discrete instruments.
As an enterprise-wide solution FEA’s VaRworksÂ® SE permits multiple and simultaneous user-access to powerful value-at-risk (VaR) data and calculations. Within VaRworks SE, the FEA VaR engine integrates with the Whitelight Analytic Server from Whitelight Systems, Inc. The Whitelight Server speeds data connectivity, ensures security, engages active business rules, and delivers multiple client interface types. By simplifying the use of VAR analysis, the WhiteLight Server Workbench elevates risk management from the static to the era of dynamic, near-real-time reporting at any risk detail desired.
Perot Systems Corporations will carry out the integration and management of FEA’s VaRworks SE for CalPX. Perot Systems Corporation is CalPX’s IT services provider.