AvenirRisk

Risk Management Toolkit

AvenirRisk gives operators real-time insight into exposures, behaviours, and anomalies. It helps identify problems early, manage systemic risk, and respond faster when something doesn’t look right.

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AvenirRisk is a purpose-built toolkit that empowers Central Counterparties (CCPs), exchanges, and clearinghouses to validate, challenge, and improve their margin models with confidence. It combines live margin sufficiency checks, historical simulations, and rigorous statistical backtesting in one integrated system.

In today’s fast-moving and complex markets, margin breaches can quickly turn into systemic issues. AvenirRisk helps you spot risks earlier, defend your model under scrutiny, and build trust: internally and with regulators.

Why AvenirRisk?

Validate with Confidence: Daily ‘Check-Back’ ensures your margin requirements are doing their job by comparing actual outcomes to initial margin levels.

Replay Market Shocks: Use ‘Play-Back’ to apply real-world historic price data to current portfolios. Simulate crises, stress test your model, and pre-empt shortfalls.Prove Model Integrity: Built-in backtesting tools assess your model using widely accepted VaR statistical techniques, aligned with BIS/IOSCO standards.

Check-Back

Test the adequacy of initial margin requirements using actual P&L data over a 1–5 day liquidation window. Identify any breaches early — before they become systemic risks.

Play-Back

Re-run historical price events against current or hypothetical portfolios to see how your risk model holds up. Simulate volatility, evaluate margin settings, and run pre-trade impact assessments.

Statistical Backtesting

Integrated analytics include:

Traffic Light Coverage Test
Filliben’s Distribution Fit
Loss-Quantile Independence Test

Together, they help risk managers determine whether models are accurate and robust over time.

Interactive Dashboards

Drill down to explore data at an account level, instrument level, and/or date level. Colour-coded warnings provide at-a-glance advice when collateral limits are approached or breached.

Customisation

Highly configurable setup provides control of custom risk horizons, portfolios and price scenarios at a granular level. Schedule batch runs and ad-hoc simulations when they work for your market.

API

Avenir integrates seamlessly with FIX, and can be set up to connect via API to any trading system; providing continuous risk-related updates.