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Theorem Technologies Head Office

125 S Wacker Dr.
Chicago
IL
US

Telephone

3122731241

Contact

Richard Buchanan
[email protected]

Risk Analytics

Rapidly add sophisticated portfolio risk analysis

Generate Value-at-Risk (VaR), multi-dimensional stress testing, exposure analysis, and options analytics across portfolios, sub-portfolios, and individual positions.  Interact with powerful views of risk in order to better track intraday portfolio activity.

  • Multi-model Value at Risk (VaR) – Parametric, Historical Simulation and Monte Carlo
  • VaR decomposition – Marginal VaR and Incremental VaR
  • Expected Tail Loss – conditional VaR analysis of tail events/tail loss
  • Advanced volatility analysis – EWMA volatility, as well as GARCH
  • Sophisticated Options Analytics – Sensitivities (all “greeks”, as well as on-the-fly implied volatility calculations).
  • Correlation & Covariance Matrix analysis.
  • Stress-testing – hypothetical index moves, underlying asset shocks, volatility spikes, and historical scenario analysis.

View other products from Theorem Technologies LLC

Theorem - SaaS post-trade management solution

• Reporting –advanced analytics, dynamic aggregation, dashboards • Allocations –support complex trade allocation rules • Notifications –create performance and compliance reports • Reconciliation –match any data with little onboarding • Data Management –user-defined query building and data files

Reporting

Harmonized data, analytics, and insights across brokers Theorem has solved the challenge of aggregating and normalizing data from multiple clearing partners and has taken reporting to the next level. Detailed reports and curated dashboards provide stakeholders with value consolidated insights and advanced analytics. Need data in a different format? Harvest allows exports in custom formats …

Allocation

The Theorem Allocation module facilitates a more controlled, transparent, and automated process by connecting to your execution accounts and delivering instructions automatically. Theorem can connect to virtually any broker and can ingest trade capture from executing brokers, trade files or via manual entry.   Seamless integration with execution and clearing brokers. Ability to select percentage …