Managing a derivatives book calls for strict and efficient risk management. GMiHedge meets these requirements by equipping users with a powerful and unrivalled risk management tool. With GMiHedge our clients will have a full grasp of GMiCost, our proprietary model for the construction of highly accurate implied volatility surfaces.

Key Benefits

  • Powerful and efficient risk management tool
  • Breakdown of a position into basic risks
  • Projection of overall carry onto an orthogonal space of carries: cost of carry of skew (Vanna), cost of carry of convexity (Volga) and cost of carry of volatility (Gamma)
  • Catered to risk management department and trading desk

Risk Analysis of a Book

  • The risk profile with spot slides / volatility changes (delta change)
  • The surface delta
  • The parametrical exposure to GMiCost
  • A breakdown of the position into basic risks
  • A projection of the overall carry onto an orthogonal space of carries