High performance multi-dimensional risk engines for enterprise wide market risk management
First Claim
1. A system for performing risk analysis of a portfolio of positions, the system comprising:
- an input interface adapter, the input interface adapter receiving position data describing at least some of the positions in the portfolio;
at least one controller coupled to the input interface adapter, the controller performing a valuation of the position data, the controller comprising;
an input queue, a controller manager coupled to the input queue, and a plurality of workers coupled to the controller manager, wherein the number of workers coupled to the controller manager is scalable;
at least one data broker coupled to the at least one controller, wherein the data broker provides the controller with data required for performing the valuation.
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Abstract
A system and method for performing Value at Risk (VaR) analysis at a large volume scale. The system employs two basic types of elements in its architecture: controllers and brokers. Controllers are engines that perform actual processing of data, while brokers manage the access to and from the data resources. Controllers of the present invention have three main components, an input queue, a manager and workers. The controllers retrieve units of work from the incoming queue, process the units, and place the result onto an outgoing queue. The outgoing queue of one controller is shared with the next element in the processing chain. Brokers are responsible for maintaining pool of common resources and providing access to those resources to a requestor (i.e., a controller). In the preferred embodiment, the resource is a data source, such as a database containing market pricing data. The broker accesses the data source though an adapter. In addition to accessing data from the data source a broker maintains a cache of cacheable elements. The system of the present invention further includes a query subsystem for generating reports relating the risk positions.
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Citations
39 Claims
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1. A system for performing risk analysis of a portfolio of positions, the system comprising:
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an input interface adapter, the input interface adapter receiving position data describing at least some of the positions in the portfolio;
at least one controller coupled to the input interface adapter, the controller performing a valuation of the position data, the controller comprising;
an input queue, a controller manager coupled to the input queue, and a plurality of workers coupled to the controller manager, wherein the number of workers coupled to the controller manager is scalable;
at least one data broker coupled to the at least one controller, wherein the data broker provides the controller with data required for performing the valuation. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19)
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20. A method for performing risk analysis of a portfolio of positions, the method comprising:
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receiving position data describing at least some of the positions in the portfolio;
valuing the position data by a controller, the controller having a plurality of workers;
automatically scaling a number of workers in the controller in regard to the volume of position data; and
retrieving valuation data required by the controller in order to perform the valuation. - View Dependent Claims (21, 22, 23, 24, 25, 26, 27, 28, 29, 30, 31, 32, 33, 34, 35, 36)
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37. A system for performing risk analysis of a portfolio of positions, the system comprising:
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a position controller, the position controller constructing a position object for each position received by the position controller;
a risk exposure controller coupled to the position controller, the risk exposure controller receiving the position object from the position controller and creating at least one risk exposure and hypothetical market data for at least one scenario with respect to the at least one risk exposure; and
a valuation range controller coupled to the risk exposure controller, the valuation range controller valuing the at least one scenario associated with the at least one risk exposure.
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38. A query system for use in a risk analysis system containing a portfolio of positions, the query system comprising:
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a portfolio controller receiving a query from a user, the portfolio controller determining risk positions required to satisfy the query;
a cube controller coupled to the portfolio controller, the cube controller receiving and aggregating the risk positions;
an expansion controller coupled to the cube controller, the expansion controller building a multidimensional cube of cells from the aggregated risk positions; and
an analytical controller coupled to the expansion controller, the analytical controller calculating characteristics contained in the query using the multidimensional cube of cells. - View Dependent Claims (39)
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Specification