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Architecture by alicejenny

VIEWS: 4 PAGES: 26

									Risikomanagement
im Browser



      Jürgen Dedorath
      Projektleiter
      Großkunden und Finanzmärkte
      Bayerische Hypotheken- und
      Wechsel Bank AG
        HYPO - Bank

 Universal Bank (nach
  Fusion zweitgrößte
  Privatbank Deutschlands).

 Zahlungsverkehr, Kredit-
  und Wertpapierhandel

 Zentrale in München
        Risikomanagment

 „Managing Market Risk“
  Berechnen von Handels-PnL, VaR
  („Value-at-Risk“), Stress Tests,... für
  Handel-Portfolios

 „Controlling Trading Limits“
 Risk Management Consultancy
  (Hedging, Portfolio Optimization, ...)
        Trading Limits

 Stress Szenarios / Risikokapital
  („PnL adjusted“)
 Sensitivties
  (Delta, PV01, Futue Äquivalente, ...)
 „Value-at-Risk“
  - JP Morgan‘s Covariance-Ansatz
  - Monte Carlo
  - Historische Simulation
Architecture




       Risk Engine
Architecture




     Position/Portfolio Data


         Risk Engine
Architecture




     Position/Portfolio Data
             Filter
         Risk Engine
 Architecture
...   Legacy     ...
      Systems




          Position/Portfolio Data
                       Filter
                Risk Engine
 Architecture
...   Legacy     ...            ...   Market Data   ...
      Systems                          Provider




          Position/Portfolio Data
                       Filter
                Risk Engine
 Architecture
...     Legacy        ...            ...   Market Data    ...
        Systems                             Provider
      Data Extract                         Data Extract




             Position/Portfolio Data
                            Filter
                     Risk Engine
 Architecture
...     Legacy         ...            ...   Market Data      ...
        Systems                              Provider
      Data Extract                           Data Extract


      Individual Map                        Individual Map



            Mapping-Framework
              Position/Portfolio Data
                             Filter
                     Risk Engine
 The System`s Output
...     Legacy         ...            ...    Market data     ...
        Systems                               Provider
      Data Extract                           Data Extract


      Individual Map                        Individual Map



            Mapping-Framework
              Position/Portfolio Data
                             Filter
                     Risk Engine
 The System`s Output
...     Legacy         ...            ...   Market Data      ...
        Systems                              Provider
      Data Extract                           Data Extract


      Individual Map                        Individual Map



            Mapping-Framework
              Position/Portfolio Data
                             Filter
                     Risk Engine
 The System`s Output
...     Legacy         ...            ...    Market data     ...
        Systems                               Provider
      Data Extract                           Data Extract


      Individual Map                        Individual Map



            Mapping-Framework
              Position/Portfolio Data
                             Filter
                     Risk Engine
 The System`s Output
...     Legacy         ...            ...   Market Data      ...
        Systems                              Provider
      Data Extract                           Data Extract


      Individual Map                        Individual Map



            Mapping-Framework
              Position/Portfolio Data
                             Filter
                     Risk Engine
 Human Input
...     Legacy         ...            ...   Market Data      ...
        Systems                              Provider
      Data Extract                           Data Extract


      Individual Map                        Individual Map



            Mapping-Framework
              Position/Portfolio Data
                             Filter
                     Risk Engine
 Human Input
...     Legacy         ...            ...   Market Data      ...
        Systems                              Provider
      Data Extract                           Data Extract


      Individual Map                        Individual Map



            Mapping-Framework
              Position/Portfolio Data
                             Filter
                     Risk Engine
 Human Input
...     Legacy         ...            ...    Market data     ...
        Systems                               Provider
      Data Extract                           Data Extract


      Individual Map                        Individual Map



            Mapping-Framework
              Position/Portfolio Data
                             Filter
                     Risk Engine
 Human Input
...     Legacy         ...            ...   Market Data      ...
        Systems                              Provider
      Data Extract                           Data Extract


      Individual Map                        Individual Map



            Mapping-Framework
              Position/Portfolio Data
                             Filter
                     Risk Engine
              The Java Approach
...     Legacy       ...            ...   Market Data    ...
        Systems                            Provider
      Data Extract                        Data Extract




             Mapping-Framework
             Position/Portfolio Data
                           Filter
              The Java Approach
...     Legacy       ...            ...   Market Data    ...
        Systems                            Provider            Html-pages

      Data Extract                        Data Extract




             Mapping-Framework
             Position/Portfolio Data
                           Filter
              The Java Approach
...     Legacy       ...            ...   Market Data    ...
        Systems                            Provider            Html-pages
                                                               WebConnect
      Data Extract                        Data Extract            Pro




             Mapping-Framework
             Position/Portfolio Data
                           Filter
              The Java Approach
...     Legacy       ...            ...   Market Data    ...
        Systems                            Provider            Html-pages
                                                               WebConnect
      Data Extract                        Data Extract            Pro
                                                               JDBC-Server




             Mapping-Framework
             Position/Portfolio Data
                           Filter
              The Java Approach
...     Legacy       ...            ...   Market Data    ...
        Systems                            Provider            Html-pages
                                                               WebConnect
      Data Extract                        Data Extract            Pro
                                                               JDBC-Server

                                                               CGI




             Mapping-Framework
             Position/Portfolio Data
                           Filter
         Vorteile

 Reports flexibel

 Anwender muß die Gesamtarchitektur
  nicht kennen

 Es wird „nur ein Server“ zur Verfügung
  gestellt
...     Legacy         ...            ...   Market Data      ...
        Systems                              Provider
      Data Extract                           Data Extract


      Individual Map                        Individual Map



            Mapping-Framework
              Position/Portfolio Data
                             Filter
                     Risk Engine

								
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