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

by Serkan Kaba, Murat ACAR
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International Journal of Computer Applications
Foundation of Computer Science (FCS), NY, USA
Volume 32 - Number 7
Year of Publication: 2011
Authors: Serkan Kaba, Murat ACAR
10.5120/3918-5516

Serkan Kaba, Murat ACAR . Article:Designing a System to Analyze Portfolio Risks and to Determine Optimum Margin Requirements. International Journal of Computer Applications. 32, 7 ( October 2011), 34-40. DOI=10.5120/3918-5516

@article{ 10.5120/3918-5516,
author = { Serkan Kaba, Murat ACAR },
title = { Article:Designing a System to Analyze Portfolio Risks and to Determine Optimum Margin Requirements },
journal = { International Journal of Computer Applications },
issue_date = { October 2011 },
volume = { 32 },
number = { 7 },
month = { October },
year = { 2011 },
issn = { 0975-8887 },
pages = { 34-40 },
numpages = {9},
url = { https://ijcaonline.org/archives/volume32/number7/3918-5516/ },
doi = { 10.5120/3918-5516 },
publisher = {Foundation of Computer Science (FCS), NY, USA},
address = {New York, USA}
}
%0 Journal Article
%1 2024-02-06T20:18:35.040513+05:30
%A Serkan Kaba
%A Murat ACAR
%T Article:Designing a System to Analyze Portfolio Risks and to Determine Optimum Margin Requirements
%J International Journal of Computer Applications
%@ 0975-8887
%V 32
%N 7
%P 34-40
%D 2011
%I Foundation of Computer Science (FCS), NY, USA
Abstract

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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Index Terms

Computer Science
Information Sciences

Keywords

Financial risk management Derivatives Portfolio analysis Estimation methods SPAN

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