Quantax Trading and Risk Management

1
Quantax Trading and Risk Management

• www.quantax.com
• 01.04.2003

2
Quantax Professional Goals

• Cost effective state of the art risk management
  solution
• Provide the proven methodology of investment
  banking to
• Small and medium size trading units
• Corporate treasuries
• Asset managers
• Customer relationship managers
• Developed exclusively in cooperation with our
  clients
• Very low operating costs, developed for operation
  by non IT-professionals
• High level of flexibility and short time to
  market for new requirements

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Why Quantax Professional?

• Quantax is a complete, integrated trading and
  risk management system
• Complete instrument coverage
• Standard interfaces (Excel, SQL, XML, data
  providers)
• True multi-entity capability
• Accounting Grade Profit Loss
• Detailed cash management
• Transitory (accrued interest) postings
• PL history and Source of Change analysis
• Extensive customizable analyses
• Positions, market value, risk, PL, performance
• Dynamic, always up-to-date portfolios
• Freely definable stress-scenarios
• Simulated transactions and market parameters
• High Flexibility, short time to market
• Rapid Application Development (RAD) Technology
• Low roll-out and operation cost

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Drill-Down Risk Analysis

• From risk figures
• to transactions,
• transaction details,
• cash flows

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Powerful Simulation Tools

• The impact of
• simulated transactions and
• stress-scenarios with absolute and relative
  market moves
• Is immediately visible
• on all portfolio levels and
• in all relevant dimensions
• Risk matrix
• arbitrary simultaneous price/volatility-scenarios
• Value at Risk
• on all levels
• with any reference (non risk) currency
• with wide range of confidence levels and holding
  periods

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Quantax serves the User

• Dynamic portfolios
• Portfolios are filters
• Portfolios are real time up-to-date, anytime
• All functions and reports can be linked to any
  portfolio
• User definable reports
• Each analysis can be executed ad hoc or saved as
  an editable and instantly accessible report
• Portals for specialized user groups
• Straight forward real time integration into
  customer specific websites

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Seamless Office-Integration

• Real time spreadsheets
• Quantax as a web-service
• All queries and reports can be executed via Excel
  as Web Queries
• COM / DCOM Integration
• Standard XML and ASCII file- and message
  interfaces
• Copy / paste

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Quantax Target Customers
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Trading and Risk Management

• Positions
• Real time FX/MM-, securities- and derivatives
  positions
• Bucketing based on arbitrary date grids
• PL
• PL analysis in any given date interval, dynamic
  selection of reference currency
• Source of change analysis impact of price /
  volatility moves of all underlying risk factors,
  cash-changes, effective theta
• Risk analysis
• Delta, gamma, vega, rho, theta sensitivity
• price / volatility matrix sensitivity per risk
  factor
• Credit risk (based on replacement value and
  add-on)
• Value at risk
• Limits
• All calculated values can be linked to limits
• Limit check at deal capture
• Real time exposure monitoring with
  green/yellow/red warning system
• Flexible limit overdraft reporting

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Portfolio Management

• Positions
• OLAP hypercube analysis along all relevant asset-
  and issuer-dimensions, on all levels
• Asset allocation
• Duration-, convexity-, maturity-bucketing
• Rating analysis
• Portfolio beta, Sharpe ratio, information ratio,
  volatility
• Limits, Compliance Reports
• Benchmarking
• Benchmark spread analysis of bond portfolios
• Tracking error
• Performance
• (daily) TWR / MWR
• Including / excluding cash financing
• Performance attribution
• Dynamic selection of reference currency

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Asset / Liability Management (ALM)

• Interest simulation
• Flexible parameters
• Yield curve forecast
• Volume forecast
• Simulated valuation scenarios
• Replication portfolio
• Automatic replication of variable interest
  exposures based on flexible rules
• Liquidity planning
• GAP reports
• Cash flow analysis
• Interest result simulation, transitory balance on
  all levels
• Sensitivity analysis
• Current and expected interest risk

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Technology
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Technology

• Architecture
• Based on state of the art web technology
• Based on the flexible and stabile Open Source
  ZOPE application server platform (www.zope.org)
• Zero client side application installation
• Programming language
• Programmed in Python (www.python.org), a highly
  efficient and powerful Open Source software for
  object oriented development
• Extensive, powerful technical and application
  libraries, straight forward extensibility
• Python and ZOPE are the framework for efficient,
  lean and rapid software development, i.e., short
  time to market for new requirements
• Portability, operation platform
• The server software runs on all standard Windows,
  Unix und Linux operating systems
• No layered software components required
• Clients only require a standard web browser

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Configuration Options
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Powerful Standard Interfaces

• Object import / export
• Transactions, static data and rates can be
  imported into Quantax and exported from Quantax
  (XML format).
• Report export
• Other systems can retrieve Quantax analyses and
  reports in HTML and XML form.
• Quantax acts as a web-service.
• Straight through processing
• Quantax can be used to capture deals and transmit
  the resulting transaction objects in real time,
  or periodically, to other systems.
• Relational Data Warehouse
• Customer systems can access all Quantax objects
  in the Quantax RDBMS data warehouse with standard
  SQL tools.

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Interface-Technology

• File interfaces
• Complete, checked XML files
• Any number of import / export interfaces can be
  configured
• Automated interfaces with integrated Quantax Task
  scheduler
• URL interfaces
• HTTP GET or POST interfaces
• HTML or XML parameters
• Real time, event driven import and export of
  objects

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orm?pubnameCOMMPOS300privatefunctionCommPos

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Our Value Proposition
Business
IT

• Complete, consolidated view of positions, PL and
  risk over all products
• Powerful state of the art simulation tools
• Complete dynamic ad-hoc and predefined portfolio
  definition and analysis
• Interactive definition of reports
• Custom portals for specialized user groups
• Snapshot and real time integration with
  standard office tools

• Zero IT-rollout cost (location independent)
• Very low operating costs, no professional
  inhouse IT Support required
• Flexibility and extensibility, rapid application
  development platform
• Inherent inter-operability with intranet/internet
  components
• Runs on all standard Windows, Unix, Linux
  execution platforms