Large Scale Data-Driven Financial Risk Modelling
At a glance
- Project leader : Prof. Dr. Wolfgang Breymann
- Project team : Nils Andri Bundi, Jonas Heitz, Dr. Jörg Osterrieder, Prof. Dr. Kurt Stockinger, Martin Wiegand
- Project budget : CHF 309'000
- Project status : completed
- Funding partner : CTI
- Project partner : Fintegral, Ariadne Business Analytics
- Contact person : Wolfgang Breymann
Description
To meet regulatory requirements, financial risk assessment should be done at the level of the individual financial contracts. This requires the use of Big-Data technology. The risk and profitability management software of the main implementation partner Ariadne, which is based on the ACTUS open standard for financial contract modeling, will be extended to offer a scalable, cloud-based solution, and the latest simulation and credit risk modeling methodologies will be added.
Publications
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Breymann, Wolfgang; Bundi, Nils; Heitz, Jonas; Micheler, Johannes; Stockinger, Kurt,
2019.
Large-scale data-driven financial risk assessment
.
In:
Braschler, Martin; Stadelmann, Thilo; Stockinger, Kurt, eds.,
Applied data science : lessons learned for the data-driven business.
Cham:
Springer.
pp. 387-408.
Available from: https://doi.org/10.1007/978-3-030-11821-1_21
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Stockinger, Kurt; Braschler, Martin; Stadelmann, Thilo,
2019.
Lessons learned from challenging data science case studies
.
In:
Braschler, Martin; Stadelmann, Thilo; Stockinger, Kurt, eds.,
Applied data science : lessons learned for the data-driven business.
Cham:
Springer.
pp. 447-465.
Available from: https://doi.org/10.1007/978-3-030-11821-1_24
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Stockinger, Kurt; Bundi, Nils Andri; Heitz, Jonas; Breymann, Wolfgang,
2019.
Scalable architecture for big data financial analytics : user-defined functions vs. SQL.
Journal of Big Data.
6(46).
Available from: https://doi.org/10.1186/s40537-019-0209-0
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Stockinger, Kurt; Heitz, Jonas; Bundi, Nils Andri; Breymann, Wolfgang,
2018.
Large-scale data-driven financial risk modeling using big data technology [paper].
In:
2018 IEEE/ACM 5th International Conference on Big Data Computing Applications and Technologies (BDCAT).
5th International Conference on Big Data Computing, Applications and Technologies (BDCAT), Zurich, Switzerland, 17-20 December 2018.
IEEE.
pp. 206-207.
Available from: https://doi.org/10.1109/BDCAT.2018.00033