OMS

Risk

Risk indices

Gaia provides the risk analyst with a large number of risk indicators. Here are a few examples of the risk indicators available in Gaia:

    • The Downside risk, which provides a synthetic measurement of the frequency and of the intensity where an investment generated performances below a predefined rate of return threshold.
    • The Gaussian Value at Risk, which measures the maximum loss of an asset with a predefined degree of confidence.
    • The Cornish Fisher Value at Risk, similar to the Gaussian Value at Risk, it compensates for the skewness and the kurtosis of the return distribution.
    • The Renta ratio, which represents a percentage of maximal loss of an asset relative to the total value of the portfolio.

Other indicators are available: such as the greeks (delta, gamma, theta, véga, rho…), the durations, sensitivities, convexities and volatilities, the SCR, the synthetic and global risks.

Counterparty Limits

Gaia can check in real time the exposure on entities for one portfolio or a group of portfolios according to the maturity and seniority of the financial instruments attached to each of these entities, withheld in the portfolio.

Liquidity Risk

The present and future liquidity of a portfolio can be followed, for each currency, in the cash flow schedule.  Creating a simulation, an order or a transaction will generate an alert if the liquidity is insufficient or below a predefined threshold.

Audit

Gaia provides a comprehensive audit of the database allowing you to follow every single bit of inserted, modified or deleted data. This audit is entirely configurable and its results can be stored on a side database for increased security.