Pricing and analytics: Equities – Hanweck

Gerald Hanweck

Hanweck analytics cover equity derivatives instruments traded on all major global exchanges with tick-level, up-to-the-millisecond pricing, and corresponding ticking history including historical and T+0 reference data. 

The company’s Options Analytics product provides streaming real-time analytics and prices, including sensitivities and volatilities for use in pre-trade decision support and risk management, as well as real-time scenario analysis for risk management and margin computations. The product is delivered as a data feed at the individual security level, with all data archived and accessible via a queryable database.

Portfolio Analytics builds upon calculations produced by Options Analytics to provide real-time calculation of portfolio scenario and exposure risk, taking into account the unique positions of a client to calculate aggregated portfolio-level risk.

Margin Analytics is a new product suite that includes real-time monitoring and comparison of the Options Clearing Corporation’s System for Theoretical Analysis and Numerical Simulations (Stans) and Theoretical Intermarket Margin System (Tims), as well as providing margin attribution, collateral optimisation and stress testing.

Trading Indicators is a new suite of derived analytics in a concise and readily accessible real-time data feed that can inform trading and risk decisions beyond options trading. Hanweck computes risk vectors in real time according to the clearing-house margin methodology, enabling up-to-the-second margin requirements that fully capture current market conditions.

The company delivers its analytics as a service, thereby minimising time-to-delivery, integration costs and reliance on internal support resources. The analytics are available in a variety of formats, simplifying integration into customers’ risk frameworks. The company provides an application programming interface and multicast feed via cross-connect at major co-location centres.

Hanweck works with customers to tailor solutions, such as incorporating its data feed directly into the customer’s own graphical user interface or another product, or co-existing with another risk software tool.

 

Judges said:

“High performance, modelling sophistication and low total cost of ownership distinguish Hanweck, as well as attention to client service. The company has a strong analytical and technology research and development culture, and a loyal client base.”

“Hanweck’s technology is progressive and its real-time performance is viable, which is challenging given the volumes and low latency needs in this area. It enjoys good client retention because it is innovative and easy to use.”

“Innovative risk as a service, backed up by a good range of recent enhancements across data and functionality.”

 

Gerald Hanweck, chief executive at Hanweck, says:

“It’s exciting to see that our newly launched suite of portfolio and margin analytics for the listed derivatives markets is already receiving serious industry attention. Hanweck is uniquely positioned to deliver these products due to our extensive experience in calculating clearing house margin in real time, including Stans, Tims and Standard Portfolio Analysis of Risk. As firms confront higher capital costs and new regulatory requirements, our suite of portfolio and margin analytics becomes an indispensable tool for effective risk management and capital deployment.”

 

Read more articles from the Risk Markets Technology Awards 2019 winners’ review

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