OTCFin offers a Best of Breed approach of pricing and risk computations to ensure maximum accuracy and coverage


OTCFin provides analytics for securities as well as on aggregated levels- Firmwide, by Portfolio, by Asset Class, Industry, Region, Rating, or any other aggregation defined by the client.  OTCFin offers its own pricing library, however we also easily  integrate with industry standard pricing systems as well as any of our clients’ own internal libraries.  In this way, a “Best of Breed” risk methodology approach may be applied for comprehensive analytics coverage.

Analytics supported include the following:

Exposure Analysis

  • Long, Short, Net, Gross Market and Exposure Values and Leverage
  • Market and Exposure Breakdowns by Security Type, Region, Country, Market Cap, Sector, Rating, etc.

Analytics/Contributions by Asset Class

  • Equities and Options: Beta , Delta,  Vega,  Gamma,  Theta,  Rho,  Net Equity Beta
  • Commodities/Macro: Margin to Equity,  Forward Price, Implied Repo Rate, YTM, DV01,  CV01, Option Adjusted Spread, Convexity, Vega
  • Fixed Income: Ratings, Obligator Rating/Sector, YTM, YTW, YTP, Weighted Average Life, Option Adjusted Spread, Option Adjusted Duration, Option Adjusted Convexity, Option Adjusted Spread Duration, Interest Rate Vega, DV01, Credit DV01, Key Rate Durations, Dollar Duration, Dollar Convexity, Dollar Spread Duration, Partial Dollar Durations, Z Spread, Discount Margain, Convexity Cost, PVBP,  Shift, Twist, Butterfly, CDS Spread
  • Structured: Current Face, Write Downs, Project Losses, 1YCPR, LTCPR, 1YPSA, LTPSA, Option Adjusted Convexity Cost, Prepayment Speed, Historical CDRs, 60+ DLQ, Severity, Current Credit Support, WAM, WAC
  • Convertible: Fair Value, Implied Credit Spread, Implied Vol., Parity, Fair Value, Bond Floor, Premium Over Bond Floor, Convert Delta, Contract Delta, Convert Gamma , Contract Gamma , Vega Theta, and Rho, Redeem Probability, Default Probability, Redeem  Probabality, Optional Conversion Probability, Conversion Premium


  • Stress Tests and Historical Scenarios

Market Risk

  • VaR, Total Risk (TR), Tracking Error (TE), Contribution to VaR /TR/TE, % TE
  • Increments VaR/TR/ TE, Component VaR /TR/TE
  • Marginal Contribution to VaR/TR/TE
  • Risk Factor Decomposition: Common  Factor Risk, Specific Risk, Active  Specific  Risk
  • Correlation, % Correlation
  • 1-year BDP , 5-year BDP

Credit Risk

  • Default Probabilities, Loss Given Default, Current, Potential, Total Exposure
  • Expected Loss, Unexpected Loss, CVaR, Tail Loss


  • Returns, Sharpe  and Sortino Ratios, Volatility, Tracking Error
  • Performance attribution
  • Risk-adjusted Returns