1. Risikomanagement im Browser
Jürgen Dedorath
Projektleiter
Großkunden und Finanzmärkte
Bayerische Hypotheken- und Wechsel Bank AG

2. HYPO - Bank
Universal Bank (nach Fusion zweitgrößte Privatbank Deutschlands).
Zahlungsverkehr, Kredit- und Wertpapierhandel
Zentrale in München

3. 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, ...)

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

5. Architecture
Risk Engine

6. Position/Portfolio Data
Architecture
Position/Portfolio Data
Risk Engine

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

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

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

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

11. 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

12. 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

13. 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

14. 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

15. 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

16. 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

17. 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

18. 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

19. 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

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

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

22. 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

23. 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

24. 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

25. Vorteile Reports flexibel
Anwender muß die Gesamtarchitektur nicht kennen
Es wird „nur ein Server“ zur Verfügung gestellt

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