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.
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.