Objective: Developing the Real-time Risk Management System (Intraday Value at Risk) for large

complex portfolio in an unified framework

Expected Outcome: The system which performs the calculation of stressed VaR, "what-if" scenarios,
stress testing on complex portfolio with large number of underlying risk factors and vectors in real-
time.

Importance: Risk management is crucial to throughout the investment/trading activities from front
trading desk to back office. However, because of the complexity of calculating VaR in large multi-
asset portfolio, delivering the VaR in real-time is not available at legacy system. Big Data with in-
memory multi-dimensional analytics can resolve this big issue.

Dataset: Yahoo Finance Tick data for S&P 500

Algorithms:

Value at Risk - Monte Carlo simulation, parametric method

Big Data: Map-Reduce, In-Memory

Tools / Languages:

Hadoop, Spark, Scala,

R, Python, and Google Cloud

Current Status:

 Developed environment system construction in Google Cloud

 Have been collecting tick data from Yahoo Finance
 Have decided specific algorithms for calculating Value at Risk
 Have been studying related papers and articles

Team members and Expected Contributions

Iljoon Hwang: Environment systems construction development, Storage server programming,

Testbed

Sungwoo Yoo: Data collection, Research papers / articles

Sungjoon Huh: Batch processing / Real-time app programming

http://www.maths.ed.ac.uk/assets/files/pgrexternalfiles/theses/optimization/XiYang.pdf

https://www.youtube.com/results?search_query=financial+risk+analysis+and+big+data
Further details:

Input:

Year Event Table (YET) – Pre-simulated occurrence of Events E in the form of trials T. Each trial
captures the sequence of occurrences of events for a year using Time-Stamps in the form of
Event/Time-Stamp pairs.

Portfolio (PF) – A group of programs P which represents a set of layers L that covers a set of ELTs
using financial terms.

Event Loss Table (ELT) – this represents the losses that correspond to an event based on an exposure
(one event can appear over different ELTs with different losses)

Intermediary output:

Layer Loss Tables (LLT) – consisting of Trial-Loss pairs.

Final Output:

Year Loss Table – contains the losses covered by the portfolio.