Work With Risk

Unlock the power of SecDb to manage risk like we do

Unlock the power of SecDb through our APIs and developer tools. Harness the platform for financial risk computation and portfolio analytics that redefined how we manage risk. Leverage a comprehensive range of derivatives market and pricing models used by our traders and quants to evaluate and manage risk across global markets.

The definitive risk platform

Benefit from the models relied on daily by every trading desk at Goldman Sachs. Developed and honed over 25 years by our traders and quantitative analysts, our fully cross-asset pricing models are calibrated to manage risk with precision at scale. Our models have been proven across decades of diverse market environments.

Access Pricing & Risk Services through

GS Quant
GS Quant
API Developer
API Developer

How clients derive value from sophisticated analytics

Robust pricing models

Compute the price of a comprehensive range of financial derivatives, from vanilla to exotic instruments across asset classes. Robust models calibrated across market environments. Full access to deep historical data across major global derivative markets, covering intraday and end of day data.

from datetime import date
from gs_quant.instrument import EqOption, OptionType, OptionStyle
from gs_quant.risk import RiskMeasure, AssetClass, RiskMeasureType

# Create SPX 2800 31Dec19 Call option
opt = EqOption("SPX", date(2020, 12, 31), 2800, OptionType.Call, OptionStyle.European)

# Price option as of most recent EOD market
current_price = opt.dollar_price()

# calculate greeks: delta, vega, gamma
opt.calc(RiskMeasure(AssetClass.Equity, RiskMeasureType.Delta))
opt.calc(RiskMeasure(AssetClass.Equity, RiskMeasureType.Vega))
opt.calc(RiskMeasure(AssetClass.Equity, RiskMeasureType.Gamma))
Pricing & Risk Services

A new view on risk

Leverage powerful risk engines to compute prices and sensitivities at any point in time. Gain an accurate picture of your portfolio risk profile across complex instruments and leverage complex market dynamics to evaluate performance under a variety of risk scenarios relied on by our trading desks.

A new view on risk

Leverage powerful risk engines to compute prices and sensitivities at any point in time. Gain an accurate picture of your portfolio risk profile across all instruments and leverage complex market dynamics to evaluate performance under a variety of risk scenarios relied on by our trading desks.

Pricing & Risk Services

Structuring redefined

Price and evaluate derivative trading strategies directly from a python console. Remove the constraints of existing structuring tools, and leverage our pricing engines directly to iterate on your ideas. Redefine idea generation.

# European GS Call option
gs_call = EqOption('GS UN', '3m', 'ATMF', OptionType.Call, OptionStyle.European)

# Create market scenario with sector and volatility shocks
eq_scenario = MarketDataShockBasedScenario(
    shocks={
        MarketDataPattern(MarketClass.Eq, gicsIndustry=GICSIndustry.Financials): MarketDataShock(MarketDataShockType.Proportional, -0.35),
        MarketDataPattern(MarketClass.Eq Vol, countryCode=CountryCode.US): MarketDataShock(MarketDataShockType.Absolute, 0.02)
    }
)

# Price option under market scenario
with ScenarioContext(eq_scenario):
    gs_scenario_price_f = gs_call.dollar_price()
Contact our sales team to register your interest and discuss solutions.