Derivatives portfolio triage is the systematic process of rapidly assessing, prioritizing, and managing risk exposures within a portfolio of crypto derivatives, especially during periods of high market volatility or stress. Its purpose is to identify critical vulnerabilities, contain potential losses, and stabilize the portfolio’s overall risk profile under challenging conditions.
Mechanism
This mechanism involves real-time aggregation and analysis of all derivative positions, calculating key risk metrics such as delta, gamma, vega, and theta across the entire portfolio. Automated systems flag positions exceeding predefined risk thresholds or those contributing disproportionately to systemic risk, initiating alerts for immediate review or automated mitigation actions.
Methodology
The methodology centers on a hierarchical decision-making process, starting with the identification of the most severe risks and proceeding to less critical issues. It employs dynamic hedging strategies, partial liquidations, or rebalancing trades based on pre-established risk limits and operational protocols, aiming to reduce capital at risk and maintain compliance with institutional risk policies in a timely and efficient manner.
Proactively adjust advanced options strategies during quote suspensions by leveraging RFQ protocols and dynamic risk re-calibration for resilient execution.
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