CITIC Securities: Optimizing Risk Management with FINCAD


Client: CITIC Securities 



Business Objectives

Introduce an analytics platform that could support sophisticated derivatives products 


  • Support the complexity, volume and performance requirements
  • Full integration of the new solution with existing systems
  • Robust pricing models, scalable and risk management analytics

What was apparent from the first meeting, and became increasingly clear, was that FINCAD understood what we needed better than any other vendor. Their knowledge and professionalism are of the highest level.

Xu Xing Hai, Director of Equity Derivatives Business of CITIC




CITIC Securities Company Limited is one of the leading investment banks in China by total assets, revenue, net profits and assets under management.


To grow its equity derivative business in Asia, CITIC planned to begin trading sophisticated derivative products. However, in order to expand, CITIC needed an analytics platform which could support the complexity, volume and performance requirements of the front office with robust pricing models, scalable architecture and critical risk management analytics.

It was also essential to ensure full integration of the new solution with existing systems and to deploy these new capabilities rapidly. 


FINCAD provided a solution for CITIC capable of handling both vanilla and exotic derivative products, generating a full risk report for their options portfolio, and integrating seamlessly with their existing systems—while remaining cost-effective. 


FINCAD's analytics solution is robust and provides risk with respect to all market data quotes and both intermediate and final model variables for any trade or portfolio, no matter how complex.

Rapid Risk: First-order sensitivities are produced in a fraction of the time it takes to run similar calculations using traditional curve bumping methods. These efficiencies have optimized time to market at CITIC. “We use FINCAD to analyze risk for our entire options portfolio, including vanilla and exotic products. FINCAD provides near instantaneous sensitivities for even the most complex structures," said Xu Xing Hai

Fast Deployment: Implementation was streamlined, fitting in with CITIC’s existing trading, settlement, and portfolio management systems seamlessly. The solution is data storage agnostic and provides flexible and persistent deployment on industry-standard relational database servers.

Integration: Today, CITIC uses FINCAD’s solution to support trading in Hong Kong and Mainland China, which requires implementation with both Chinese market data and global market data.

Expert Support: FINCAD’s Beijing office provided expert professional services, and senior quantitative analysts and engineers from FINCAD headquarters were also available on site to ensure the success of the project.


Between the training we received and how easily their solution fit into our current systems, we were operational in only a few months. This was instrumental in enabling us to get our new business off the ground as quickly as we had hoped.”

Xu Xing Hai, Director of Equity Derivatives Business of CITIC