ACTUS Risk Demonstrator
Auf einen Blick
- Projektleiter/in : Prof. Dr. Wolfgang Breymann
- Projektteam : Francis Gross, Matas Pocevicius
- Projektvolumen : EUR 19'900
- Projektstatus : abgeschlossen
- Drittmittelgeber : EU und andere Internationale Programme (Europäische Zentralbank)
- Projektpartner : Europäische Zentralbank
- Kontaktperson : Wolfgang Breymann
Beschreibung
The goal of the Research is to provide an interactive prototype
demonstrating the power of an ACTUS-based measurement and analysis
environment for the needs of ECB. It is envisioned in the Research
that the prototype will be able to show the possibilities offered
by such an approach at different levels of complexity and on
different scales. The resources required strongly depend on the
level of complexity of the analysis and the scale of the system, as
well as on the degree of engineering refinement of and experience
with the model used.
The focus will be on a flexible and appealing representation of
input and output of the simulation such that the system can be used
by non-experts. Input and output will be provided in form of a
graphical user interface (GUI).
It is envisioned that a basic feature might be the possibility to
report the positions at the most granular level, i.e., the level of
the individual contract, combined with the possibility to aggregate
the contract-level results according to flexible criteria. This
gives the user the possibility to create statistics “on the fly” in
nearly real time. In addition, the aggregation criteria can be
defined by the user. This makes it possible to define new types of
statistics in an adhoc manner.
The demonstrator envisioned in the Research should show the
conceptual possibility to represent all types of financial contract
in a mathematically precise way and such that the solution is
scalable. The system will be able to be deployed from single
machines till cloud-based servers with an adequate control of
access rights. In addition, ACTUS contracts can also be implemented
in a blockchain or DLT environment [4]. How to do this in a
full-fledged, operational environment, however, has still to be
developed in detail. The aim of the project is to undertake a first
step in this direction and to indicate which way to go to implement
this in a full-fledged system.
The overall aim of the Research is to build a data infrastructure
that should be able to be used for both, the operational
environment of the industry and an environment supporting
supervisory tasks and analysis in near time for the regulator.
Publikationen
-
Breymann, Wolfgang; Kucharczyk, Daniel Adam; Gross, Francis,
2019.
Modelling the economy as a network of contracts : an ACTUS-based demonstrator applied to liquidity.
In:
6th Annual Conference of the Society for Economic Measurement, Frankfurt, 16-18 August 2019.