GlobalRisk, Interactive Data Partner to Support CFTC’s Derivatives Oversight Operations

The CFTC was looking to bolster its abilities to assess and monitor risk exposures for derivatives transactions in real time.

The agreement aligns with industry-wide initiatives directed at improving risk management analysis and standardization for OTC derivatives globally, according to a release. GlobalRisk's FirmRisk captures real-time or delayed equities, futures and options data from Interactive Data's consolidated feed and also runs stress tests and analytics to help calculate intra-day risk exposure metrics.

GlobalRisk has recently expanded its analysis capabilities to include interest rate and credit default swaps and 99 additional market scenarios that can be analyzed across all available products.

"FirmRisk uses market data from Interactive Data to provide theoretical portfolio valuation across market price and volatility scenarios in real-time," Curtis Wichmann, vice president of GlobalRisk tells WatersTechnology. "This stress test is the basis for large-scale data mining in terms of risk identification and measurement."

As an example, Wichmann, says that an alert can be generated when a position's potential risk exceeds a user-defined threshold. Or, a user can be alerted to a derivatives position where a risk metric exceeds a user-defined limit.

Wichmann also stressed that this is a true collaboration, which was important for the CFTC in the selection process.

"Both firms recognized the opportunity and value in leveraging this business collaboration to provide a comprehensive risk management solution to all levels of futures industry participants," says Wichmann.

In a statement, Emmanuel Doe, president of real-time feeds for Interactive Data, said that they will look to push this collaborative solution out to the rest of the industry.

"Managing derivatives risk is a challenge and high-quality data and methodologies enable a better understanding of real-time risk exposures," he said. "We believe our collaboration with GlobalRisk can assist the industry in its efforts to advance risk management through high-quality data and powerful analysis in support of strategic decision-making."