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Designing a System to Analyze Portfolio Risks and to Determine Optimum Margin Requirements

International Journal of Computer Applications
© 2011 by IJCA Journal
Number 1 - Article 1
Year of Publication: 2011
Serkan Kaba
Murat ACAR

Serkan Kaba and Murat ACAR. Article:Designing a System to Analyze Portfolio Risks and to Determine Optimum Margin Requirements. International Journal of Computer Applications 32(7):34-40, October 2011. Full text available. BibTeX

	author = {Serkan Kaba and Murat ACAR},
	title = {Article:Designing a System to Analyze Portfolio Risks and to Determine Optimum Margin Requirements},
	journal = {International Journal of Computer Applications},
	year = {2011},
	volume = {32},
	number = {7},
	pages = {34-40},
	month = {October},
	note = {Full text available}


In this paper, we focus on designing a real-time risk management system. The system will be using CME SPAN and will consist of a multithreaded daemon process to evaluate portfolios using SPAN calculation engines and programs to determine parameters fed to SPAN. SPAN parameters can be estimated by several methods using historical data. One of the goals is to determine the best method for each parameter for every asset class. The other goal is to develop a responsive system to analyze portfolios and orders in real-time and to update the portfolio risks accordingly. Ultimately when these two parts are combined, we’ll be constructing a real-time system to evaluate portfolio risks and to determine optimum margin requirements.


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