Joint Talk with European Central Bank on “Large-Scale Data-Driven Financial Risk Assessment“ at DW2015

The recent financial crisis revealed the unstable nature of the financial system. The lack of a global standard for financial contract modeling makes comparison of risk exposures between banks almost impossible. Simulation of the cash flows of billions of financial contracts results in Petabytes of data, which requires highly-scalable data warehousing and Big Data analytics. We present a large-scale simulation and analysis platform based on ACTUS. In collaboration with the European Central Bank, analysis and performance results have been obtained by applying the ACTUS engine on a portfolio of real assets in a DWH/Big Data environment.

Our joint talk with European Central Bank on "Large-Scale Data-Driven Financial Risk Assessment" (Wolfgang Breymann, Nils Bundi, Johannes Micheler, Kurt Stockinger) was accepted for presentation at DW 2015, a major international industry conference on data warehousing and big data.

Abstract:

The recent financial crisis revealed the unstable nature of the financial system. The lack of a global standard for financial contract modeling makes comparison of risk exposures between banks almost impossible.  Simulation of the cash flows of billions of financial contracts results in Petabytes of data, which requires highly-scalable data warehousing and Big Data analytics.

We present a large-scale simulation and analysis platform based on ACTUS. In collaboration with the European Central Bank, analysis and performance results have been obtained by applying the ACTUS engine on a portfolio of real assets in a DWH/Big Data environment.

DW2015 Conference:

http://www.tdwi.eu/veranstaltungen/konferenzen/dw-2015-zuerich/