Large Scale Data-Driven Financial Risk Modelling
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.
Key data
Projectlead
Prof. Dr. Henriette Elise Breymann
Project team
Martin Wiegand, Prof. Dr. Kurt Stockinger, Dr. Nils Andri Bundi, Prof. Dr. Jörg Osterrieder, Jonas Heitz
Project partners
Zanders GmbH / ehemals Fintegral; Ariadne Business Analytics AG
Project status
completed, 02/2017 - 12/2018
Institute/Centre
Institute for Data Science (IDS); Institute of Computer Science (InIT)
Funding partner
CTI
Project budget
309'000 CHF
Publications
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Scalable architecture for big data financial analytics : user-defined functions vs. SQL
2019 Stockinger, Kurt; Bundi, Nils Andri; Heitz, Jonas; Breymann, Wolfgang
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Lessons learned from challenging data science case studies
2019 Stockinger, Kurt; Braschler, Martin; Stadelmann, Thilo
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Large-scale data-driven financial risk assessment
2019 Breymann, Wolfgang; Bundi, Nils; Heitz, Jonas; Micheler, Johannes; Stockinger, Kurt
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Large-scale data-driven financial risk modeling using big data technology
2018 Stockinger, Kurt; Heitz, Jonas; Bundi, Nils Andri; Breymann, Wolfgang