PLATSON SOLUTIONS

Accurate Gamma without crypto-level computing can save
1.6m USD per annum per book

Current second order risk (gamma, volga, vanna) estimation errors cost 1.6m USD per mid-sized book per year

Incorrect Risk bucketing - re-hedging costs of 800k p.a.
Inaccurate PL - failing PLAT will cost 800k p.a under FRTB - having to capitalise at SA rather than IMA

The PLATSON Solution reduces the errors from ~60% to ~3%, saving 1.6m USD per annum per book

Non-linear PL predict error rates reduced 95% by using the PLATSON solution vs traditional gamma

The unexplained PL errors arise from incorrect bucketing of risk due to the assumption of parallel curve moves - PLATSON solves for this incorrect assumption but not through brute force computation. Other benefits:

Increased Flexibility arising from correctly bucketed risk

Allows for trading of more complex products and strategies that have been sidelined due to incomplete quantification of risks, for example midcurve dispersion portfolios.
The ability to change bases effectively, eg from 2y, 5y, 10y to 10y, 2s5s, 5s10s (and PCA variants)
Minimising investigations into "unexplained" PL

The PLATSON solution is designed to be integrated into client risk management systems, be that vendor provided or an in-house proprietary build without creating any further layers of complexity (no new software, websites, API, UI etc).