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<div class="csl-entry">Guggenberger, P. (2008). <i>Design and prototyping of a flexible value-at-risk measurement system</i> [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://resolver.obvsg.at/urn:nbn:at:at-ubtuw:1-22961</div>
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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.<br />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.<br />
de
dc.language
English
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dc.language.iso
en
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dc.rights.uri
http://rightsstatements.org/vocab/InC/1.0/
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dc.subject
value-at-risk
de
dc.subject
Risikomanagement
de
dc.subject
web service
de
dc.subject
SOA
de
dc.subject
Aktienoption
de
dc.subject
Monte-Carlo Simulation
de
dc.subject
value-at-risk
en
dc.subject
risk management
en
dc.subject
web service
en
dc.subject
SOA
en
dc.subject
stock option
en
dc.subject
Monte-Carlo simulation
en
dc.title
Design and prototyping of a flexible value-at-risk measurement system