Trading remains the key to increasing the profitability of financial institutions through globalization of markets . Simplex supports its clients' to sustain increase in profitability through delivering advanced trading and risk management solutions.

Key Strengths

  1. Multi Asset, Vast Functionality Coverage on Single Platform

  2. Real Time Risk and Position Management
  3. Advanced Counterparty Risk Management

Multi Asset, Vast Functionality Coverage on Single Platform

Providing market trading solutions that unify the management of trading across a range of products. Provide best pricing with practical applications from standard operations to the latest risk management, which support the development of the client's business.

Covers Over 200 Types of Products

Cover over 200 types of plain to exotic products. Provides strong support for trading multiple products from fast and accurate deal entry, to unified management of interest rate/FX/credit positions.

Single Platform

Enables straight-through processing, from front office to middle and back office. Provide connectivity adapters to electronic broking systems, as well as downstream back office systems. Meets varying requirements from different business units, such as flexible portfolio view configuration.

Advanced Logic

Flexibly set various yield curves depending on product, index tenor, collateral, and collateral currency. Spontaneously creates yield curves using rates and volatility that can be obtained from the market to deal with OIS and tenor spreads. Produces realistic mark-to-market valuation corresponding to the market.

Real Time Risk and Position Management

Quickly and comprehensively calculate real time intraday position values and risks of Multi Asset portfolios containing interest rate, FX, and credit products. The high-speed grid computing platform and real time monitoring components generate deal opportunities and enable risk control.

Real Time Monitoring

Automatically recalculates positions and risks when changes occur in market data and in intraday positions. Supports intuitive monitoring of portfolios with a variety of view options.

Distributed Computing ×GPU

Includes grid computing components, which efficiently distribute the calculation tasks across a grid of 10s to 100s of CPUs. Enhances speed using GPU with over 500 cores on one board.

Limit Management

Allows limit settings based on thresholds on losses, sensitivities, and credit lines in a multifaceted manner and immediately sends alerts in real time when a violation occurs.

Advanced Counterparty Risk Management

Simplex provides expertise to advanced counterparty risk management. By using advanced components, small to full fledged middle office system can be provided depending on client requirements.

Wrong Way Risk

Includes standard models for various asset classes from interest rate, FX, equity, to credit. For risk scenario generation, uses a full simulation method to capture the correlation structure and measure wrong way risk.

Model Calibration

Includes calibration functions for the Black model of matrix risk factors. For credit risk factors with limitations on acquiring market data, input of fixed income prices, CDS spreads, and rating transition matrix is supported using intensity-based model.

Expected Shortfall

Measures exposure and loss distributions under CSA contracts. Calculates expected shortfall from parametric distributions estimated using loss distributions from historical simulations.


Calculates PFE, EPE and Uni-lateral/Bi-lateral CVA from exposure distributions. Allows users to define additional credit risk measures. Provides intuitive report views on contribution analyses.

Scenario Analysis

Supports market scenario simulations and what-if analyses. Provides the ability to view changes in risk profile as a function of stressed market environment. Supports large amount of calculations with a high-powered calculation platform.

Building Block Approach

Designed with a building block approach for data models, the concept allows for increasingly varied financial components to be combined with existing payoff profiles in order to quickly create robust product models.

American Monte-Carlo (LSM method)

The LSM method was developed by Professor Francis Longstaff, a Simplex advisor, and Professor Schwartz at UCLA. It has become the de facto standard for CVA calculations for portfolios with complex products using a multidimensional Monte-Carlo simulation. Simplex has accrued extensive experience in its development and practical applications since its establishment in 1997.

Relevant Products and Services

Real Time Multi Asset Capital Market Solution

Capital market solution that covers a variety of market trading operations ranging from trading to risk management. SimplexPRISM supports over 200 types of products as well as advanced risk management functions such as PFE/CVA. The solution enhances the overall success of a client's business due to its ability to deal with multiple entity situations for global deployment.

Track Record: Megabank

  • Simplex PRISM deployed as the mainstream system to multiple overseas offices for plain products such as FX and money market.
  • Integrated the pricing library developed by the bank's internal group.
  • Connected to more than 20 external systems in the headquarters.

Track Record: Major Trust Bank

  • Deployed an integrated management system for derivatives.
  • For OIS curve and tenor spreads, Designed curves using rates and volatility observed in the market without relying on the SABR model.
  • GPUs were deployed on the distributed computing platform along with CPUs, and achieved calculation speed which is 30 times faster than the previous system.

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