Risikomanagement im Browser

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Presentation transcript:

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

Position/Portfolio Data Architecture Position/Portfolio Data Risk Engine

Position/Portfolio Data Architecture Position/Portfolio Data Filter Risk Engine

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

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

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

Position/Portfolio Data Architecture ... Legacy Systems ... ... Market Data Provider ... Data Extract Data Extract Individual Map Individual Map Mapping-Framework Position/Portfolio Data Filter Risk Engine

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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