Real Time Financial Risk Monitoring as a Data-intensive Application

摘要

This paper will examine the possibility of real-time risk calculations within the financial services industry. Due to regulatory standards, this paper will focus mainly on the calculations of value-at-risk (VaR) and expected shortfall (ES). Their computation currently requires simplified theory in order to be done within real-time. This demonstrates a real-world disadvantage to investment professionals since they need to comply with regulatory requirements when doing real-time decisions without knowing the accurate risk numbers at any one time. Within the CloudDBAppliance project, we designed an architecture that shall make real-time risk monitoring possible using cloud computing and a fast analytical processing platform.