Design and prototyping of a flexible value-at-risk measurement system / von Philipp Guggenberger
VerfasserGuggenberger, Philipp
Begutachter / BegutachterinDangl, Thomas
Umfang74 Bl. : graph. Darst.
HochschulschriftWien, Techn. Univ., Dipl.-Arb., 2008
Schlagwörter (DE)value-at-risk / Risikomanagement / web service / SOA / Aktienoption / Monte-Carlo Simulation
Schlagwörter (EN)value-at-risk / risk management / web service / SOA / stock option / Monte-Carlo simulation
URNurn:nbn:at:at-ubtuw:1-22961 Persistent Identifier (URN)
 Das Werk ist frei verfügbar
Design and prototyping of a flexible value-at-risk measurement system [2.4 mb]
Zusammenfassung (Deutsch)

The controlling of the market risk is an essential part for every financial institution. The risk evaluation consists of a huge amount of single calculations; therefore it's necessary to establish appropriated software applications. But such types of systems are very agile. It's necessary to add new functionality (e.g. calculation methods for new type of investments) or improvements of already existing functions all the time. The objective of this work was to design a flexible risk measurement system. The term flexible doesn't limit to only easy improvement and extensibility, furthermore the system should run on several different operating systems and different databases as well. The work focused on two rather new software development processes, SOA (service oriented architecture) and EDA (event driven architecture), which offer a more flexible implementation than for example the object-oriented paradigm. The prototype of this work bases on EDA. The objective was to evaluate the risk of stocks, stock options and entire portfolios with help of the delta-gamma approach as well as with the Monte-Carlo simulation approach. The core elements of an EDA system are independent services.

The orchestration of these modules is the main task of an event-driven system. This work describes the advantages and problems of this rather new technology. Furthermore one very popular approach to evaluate the market risk of financial investments, the value-at-risk method, is described in detail. Especially the measurement of non-linear investments (e.g. stock options) will be discussed. This thesis gives an overview of the up to date software development approaches SOA and EDA and shows their application in a practical project.