RBH | Risk Based Haircut
Calculates capital charges for listed derivative securities, equities, and qualified stock baskets per Appendix A of the SEC 'Net Capital Rule'.
Optional modules for the Risk Based Haircut:
Basket Weaver is an optional module for the Risk Based Haircut product designed to reduce haircut requirements.
The Basket Weaver analyzes portfolios (on an individual position, or net-position basis) and creates appropriately hedged / capitalized, sector and broad-based baskets from common stock and single security futures.
The Wrapper is an optional optimization module that runs in conjunction with the Basket Weaver to find the lowest possible haircut from a universe of scenarios.
Final Haircut reports are generated utilizing the settings output from the Wrapper’s optimization. This includes the ability to combine 'naked stock' positions to baskets that would benefit from this addition.