Risk Management is performed firstly at an individual trader level where the book risk is managed within the set parameters. The next level is the Fund Managers where real-time monitoring of the whole of KC’s exposure is performed and the company’s overall risk is actively managed and if necessary realigned in order to be consistent with the Company’s mission and targets.
Kosmo Capital GM has developed a set of proprietary software tools to control and manage in real time the risk metrics of each book run by the traders and the overall risk run by the company. P&L, VaR, Margin at Risk, Capital Usage, Portfolio Correlations and other data are monitored in real-time and constantly analysed and checked against the set of parameters that define KC’s risk profile and trading strategies.
The Daily Margin posted for trading is kept below 10% of AUM and on average 5%.
100% of traders are expected to under-perform the budget by 20%.
20% of traders are expected to hit the hard S/L on a yearly basis.
Target Volatility 3% on a daily basis.
Individual Yearly Hard S/L 45% of trading Capital.
Individual Monthly Hard S/L 10% on Trading Capital.
Individual Monthly Soft S/L 4% of Trading Capital.
Individual Daily Soft S/L 3% of Trading Capital.
Individual Sharp ex-ante 0.5-2.0
Products with price discovery discontinuity risk are traded only via optionality with pre-determined downside.