Implementing Value-at-Risk and Expected Shortfall for Real Time Risk Monitoring

Petra Ristau

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Paper

Implementing Value-at-Risk and Expected Shortfall for Real Time Risk Monitoring

In Proceedings of the 8th International Conference on Data Science, Technology and Applications - Volume 1: ADITCA, 459-464, 2019 , Prague, Czech Republic

Author: Petra Ristau

Affiliation: JRC Capital Management & Research GmbH, Kurfürstendamm 186, 10707 Berlin and Germany

Keyword(s): Cloud Appliance, Financial Risk Measures, Value-at-Risk, Expected Shortfall, Monte-Carlo Simulations.

Abstract: Regulatory standards require financial service providers and banks to calculate certain risk figures, such as Value at Risk (VaR) and Expected Shortfall (ES). If properly calculated, their formulas are based on a Monte-Carlo simulation, which is computationally complex. This paper describes architecture and development considerations of a use case building a demonstrator for a big data analytics cloud platform developed in the project CloudDBAppliance (CDBA). The chosen approach will allow for real time risk monitoring using cloud computing and a fast analytical processing platform and data base.

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Paper citation in several formats:

Ristau, P. (2019). Implementing Value-at-Risk and Expected Shortfall for Real Time Risk Monitoring. In Proceedings of the 8th International Conference on Data Science, Technology and Applications - ADITCA; ISBN 978-989-758-377-3; ISSN 2184-285X, SciTePress, pages 459-464. DOI: 10.5220/0008318704590464

@conference{aditca19,
author={Petra Ristau.},
title={Implementing Value-at-Risk and Expected Shortfall for Real Time Risk Monitoring},
booktitle={Proceedings of the 8th International Conference on Data Science, Technology and Applications - ADITCA},
year={2019},
pages={459-464},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0008318704590464},
isbn={978-989-758-377-3},
issn={2184-285X},
}

TY - CONF

JO - Proceedings of the 8th International Conference on Data Science, Technology and Applications - ADITCA
TI - Implementing Value-at-Risk and Expected Shortfall for Real Time Risk Monitoring
SN - 978-989-758-377-3
IS - 2184-285X
AU - Ristau, P.
PY - 2019
SP - 459
EP - 464
DO - 10.5220/0008318704590464
PB - SciTePress