Complex mathematical techniques are increasingly finding a role in the
calculation of financial risk for financial institutions and other
businesses. Systems frequently need to process many millions of data
points in order to calculate the impact of risk factors on a
portfolio. A particular challenge of the business environment is to
provide rapid results to inform financial traders as they work.
Typical package-based risk management solutions are unable to provide
accurate results with the real-time performance required by busy
trading desks. PA Consulting designed and built a high-performance
risk analysis system for a busy energy trading desk with over 500,000
positions. Through distributed processors operating in parallel the
system is able to provide real-time analysis of key financial risk
measures.
This talk briefly introduces the main risk measures used by business
and the resulting calculations required. The architecture of the
custom risk management system is described and contrasted with
package-based architectures. Future challenges for integrating
business risk management are also explained, along with areas for
further development.
Speaker Bio:
Glyn Thomas is a Physics with Computing graduate of
Southampton University, England. He has an MBA from Britain's Open
University Business School, and is a Member of the British Computer
Society. Glyn has over seventeen years of commercial computing
experience. With PA Consulting Group he has led systems development,
package implementation, and architecture projects for clients in the
financial, energy, broadcasting, and telecommunications sectors.
Prior to working for PA Consulting, the majority of Glyn's career was
spent with IBM Global Network working initially on Electronic Data
Interchange systems, and subsequently Internet-based systems.