• What is ActiveMargin™ ? |
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ActiveMargin™ is a pre-trade compliance, risk control and management system capable of being deployed in organizations with exposures to a variety of assets.
• Compute regulatory margins across assets on a pre trade basis.
• Compute the value-at-risk of a portfolio of assets at various levels in the organisation.
• Monitor the margins and value-at-risk online as and when deals take place.
• Serve as a real-time rules engine to regulate trades.
• Validate deal requests and orders against rules and risk settings before such orders are allowed to be executed.
• Provide true real-time reports on exposure to various types of risks.
• Provide real-time risk analytics to traders and to risk managers The ActiveMargin™ suite of products consists of 3 components:
• The CONFORMS™ engine, which provides rapid, real time validation to orders and deal requests
• The PERFORMS™ application, which generates risk parameters from time-series data
• The INFORMS™ Risk Manager Console, which provides a front-end for reporting, controlling the real-time configuration of ActiveMargin™, and for setting limits and risk validation data.
ActiveMargin™ provides standard TCP/IP interfaces to
• Order Routing Systems
• Back-office systems
• Information Vendors 
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| • Who are the target customers of ActiveMargin™ ? |
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ActiveMargin™ targets the high end players in risk - treasuries run by central banks, large commercial banks,investment banks, multinationals, large brokerages and clearing corporations.
To understand how ActiveMargin™ can work in some of these environments, please click on the following links.
ActiveMargin™@bank_treasury
ActiveMargin™@broking_companies
ActiveMargin™@clearing_corp
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| • How is ActiveMargin™ typically used at a customer site? |
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In an exchange traded derivatives market, ActiveMargin™ plays a key online role in validating order requests coming from various clients. ActiveMargin™ computes the incremental margin (or securities) requirement for each order, in real-time, compares the required margin with the available collateral and with other limiting parameters set by the risk manager, and either allows an order to be passed for execution, or rejects the order for want of collateral or securities. This validation is done at every level in the hierarchy, and the order is sent for execution only if the order is passed at every level.
In this scenario, ActiveMargin™ sits between an order collection system and an order routing system (or an exchange interface).
In a dealing room of a large treasury, where deals are struck through an automated system, ActiveMargin™ sits behind a deal routing terminal, validating deal requests prior to execution. Where deals are struck on telephone, the dealer concerned is required to enter his pre-deal ticket into ActiveMargin™, and proceed with the deal only on approval from ActiveMargin™. To eliminate time delays, a dealer might want to take approvals for several deal requests at one shot. Since ActiveMargin™ margins orders on a worst case basis, ActiveMargin™ ensures that a dealer is not charged margins more than what is absolutely required.
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| • What are the data pre-requisites for ActiveMargin™? |
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| ActiveMargin™ requires a cleaned time series dataset for all risk factors. This can be generated in-house, or can be downloaded from value added vendors like RiskMetrics. However, if there is difficulty in generating the same, Chella Software can provide consultancy services to help produce a cleansed dataset. ActiveMargin™ also requires observed prices of benchmark instruments, in order to generate an yield curve. |
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