Embed Size (px)
Citation preview
Risikomanagement im Browser
Jürgen Dedorath
Projektleiter
Großkunden und Finanzmärkte
Bayerische Hypotheken- und Wechsel Bank AG
Universal Bank (nach Fusion zweitgrößte Privatbank Deutschlands).
Zahlungsverkehr, Kredit- und Wertpapierhandel
Zentrale in München
HYPO - Bank
„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, ...)
Risikomanagment
Stress Szenarios / Risikokapital („PnL adjusted“)
Sensitivties (Delta, PV01, Futue Äquivalente, ...)
„Value-at-Risk“
- JP Morgan‘s Covariance-Ansatz
- Monte Carlo
- Historische Simulation
Trading Limits
Architecture
Risk EngineRisk Engine
Risk EngineRisk Engine
Architecture
Position/Portfolio Data
Architecture
Filter
Position/Portfolio Data
Risk EngineRisk Engine
Architecture
LegacyLegacy SystemsSystems
Filter
Position/Portfolio Data
Risk EngineRisk Engine
... ...
LegacyLegacy SystemsSystems
Market DataMarket DataProviderProvider
Filter
Position/Portfolio Data
Risk EngineRisk Engine
... ... ... ...
Architecture
LegacyLegacy SystemsSystems
Data Extract
Market DataMarket DataProviderProvider
Filter
Position/Portfolio Data
Risk EngineRisk Engine
Data Extract
... ... ... ...
Architecture
LegacyLegacy SystemsSystems
Data Extract
Market DataMarket DataProviderProvider
Filter
Position/Portfolio Data
Risk EngineRisk Engine
MappingMapping-FrameworkFramework
Data Extract
Individual MapIndividual Map
... ... ... ...
Architecture
LegacyLegacy SystemsSystems
Data Extract
Market dataMarket dataProviderProvider
Filter
Position/Portfolio Data
Risk EngineRisk Engine
MappingMapping-FrameworkFramework
Data Extract
Individual MapIndividual Map
... ... ... ...
The System`s Output
LegacyLegacy SystemsSystems
Data Extract
Market DataMarket DataProviderProvider
Filter
Position/Portfolio Data
Risk EngineRisk Engine
MappingMapping-FrameworkFramework
Data Extract
Individual MapIndividual Map
... ... ... ...
The System`s Output
LegacyLegacy SystemsSystems
Data Extract
Market dataMarket dataProviderProvider
Filter
Position/Portfolio Data
Risk EngineRisk Engine
MappingMapping-FrameworkFramework
Data Extract
Individual MapIndividual Map
... ... ... ...
The System`s Output
LegacyLegacy SystemsSystems
Data Extract
Market DataMarket DataProviderProvider
Filter
Position/Portfolio Data
Risk EngineRisk Engine
MappingMapping-FrameworkFramework
Data Extract
Individual MapIndividual Map
... ... ... ...
The System`s Output
LegacyLegacy SystemsSystems
Data Extract
Market DataMarket DataProviderProvider
Filter
Position/Portfolio Data
Risk EngineRisk Engine
MappingMapping-FrameworkFramework
Data Extract
Individual MapIndividual Map
... ... ... ...
Human Input
LegacyLegacy SystemsSystems
Data Extract
Market DataMarket DataProviderProvider
Filter
Position/Portfolio Data
Risk EngineRisk Engine
MappingMapping-FrameworkFramework
Data Extract
Individual MapIndividual Map
... ... ... ...
Human Input
LegacyLegacy SystemsSystems
Data Extract
Market dataMarket dataProviderProvider
Filter
Position/Portfolio Data
Risk EngineRisk Engine
MappingMapping-FrameworkFramework
Data Extract
Individual MapIndividual Map
... ... ... ...
Human Input
LegacyLegacy SystemsSystems
Data Extract
Market DataMarket DataProviderProvider
Filter
Position/Portfolio Data
Risk EngineRisk Engine
MappingMapping-FrameworkFramework
Data Extract
Individual MapIndividual Map
... ... ... ...
Human Input
Data Extract
LegacyLegacy SystemsSystems
Market DataMarket DataProviderProvider
Filter
Position/Portfolio Data
MappingMapping-FrameworkFramework
... ... ... ...
The Java Approach
Data Extract
Data Extract
LegacyLegacy SystemsSystems
Market DataMarket DataProviderProvider
Filter
Position/Portfolio Data
MappingMapping-FrameworkFramework
... ... ... ...
The Java Approach
Html-pages
Data Extract
Data Extract
LegacyLegacy SystemsSystems
Market DataMarket DataProviderProvider
Filter
Position/Portfolio Data
MappingMapping-FrameworkFramework
... ... ... ...
The Java Approach
WebConnectPro
Html-pages
Data Extract
Data Extract
LegacyLegacy SystemsSystems
Market DataMarket DataProviderProvider
Filter
Position/Portfolio Data
MappingMapping-FrameworkFramework
... ... ... ...
The Java Approach
JDBC-Server
WebConnectPro
Html-pages
Data Extract
Data Extract
LegacyLegacy SystemsSystems
Market DataMarket DataProviderProvider
Filter
Position/Portfolio Data
MappingMapping-FrameworkFramework
... ... ... ...
The Java Approach
JDBC-Server
WebConnectPro
CGI
Html-pages
Data Extract
Reports flexibel
Anwender muß die Gesamtarchitektur nicht kennen
Es wird „nur ein Server“ zur Verfügung gestellt
Vorteile
LegacyLegacy SystemsSystems
Data Extract
Market DataMarket DataProviderProvider
Filter
Position/Portfolio Data
Risk EngineRisk Engine
MappingMapping-FrameworkFramework
Data Extract
Individual MapIndividual Map
... ... ... ...
