Risk management

Our service offering

Our clients profit from our proven proprietary risk management model that calculates risk offsets across markets and products.  By close and real-time risk monitoring we aim to ensure to protect our firm and therefore also our clients’ assets. We have developed our risk management system over the last 20 years, in close collaboration with our clients. We continually assess its functioning and look to improve on its correlation accuracy. Market and credit risk are key building blocks of our clearing Risk Model.

Correlation haircut

Our in-house built Correlation haircut model optimizes capital requirements for our clients and has been developed to provide coverage of all asset classes.

The Correlation haircut takes into account correlations between different equities, indices, bonds and derivative products across asset classes when calculating the haircut, offering substantial added value by offsetting correlated products on various exchanges.

The application of our Correlation Haircut Risk model  can lead to significant savings in terms of capital requirements.

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Specialized services

We have specialist settlement teams to facilitate the handling of creation/redemption instructions for ETFs and conversions for ADR/ordinary shares.

ABN AMRO Clearing acts as custodian and settlement agent for its clients. We are fully interfaced with Securities Settlement Systems and CSDs, and manage a large network of sub-custodians. Managing the complete value chain from Execution, Clearing to settlement allows higher efficiency and costs containment. We fully comply with Swift market standards. 

Combining OTC contracts in a single sheet with listed derivatives and underlying assets will lead to capital efficiencies and collateral optimization in combination with lower risk and credit exposure. 

These specific services are open to all professional and ECP clients and are mostly used by principal trading groups and prime brokerage clients. 

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Risk Management

We optimise your capital utilisation by providing correlation offset between margin requirements linked to multiple market memberships and asset classes. Our risk management department monitors all client positions in real time. Our risk management teams include professionals with trading experience. They have daily client interaction and show deep understanding of the market and of our clients’ strategies and trading behaviour.

Our Risk model is most appropriate to generate capital efficiencies for strategies like:

- Relative value
- Volatility arbitrage
- Long/Short equity strategies
- Quantitative strategies.

These specific services are open to all professional and ECP clients and are mostly used by principal trading groups, corporate hedgers and prime brokerage clients.

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