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

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Presentation on theme: "Risikomanagement im Browser Jürgen Dedorath Projektleiter Großkunden und Finanzmärkte Bayerische Hypotheken- und Wechsel Bank AG."— Presentation transcript:

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 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

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

5 Architecture Risk Engine

6 Architecture Position/Portfolio Data

7 Architecture Filter Position/Portfolio Data Risk Engine

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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


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