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Risikomanagement im Browser

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.

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Risikomanagement im Browser

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

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

  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. Architecture Position/Portfolio Data Risk Engine

  7. Architecture Position/Portfolio Data Filter Risk Engine

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

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

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

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

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

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

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

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

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

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

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

  23. 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. 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. ... 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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