Title: Large-scale data-driven financial risk assessment
Authors : Breymann, Wolfgang
Bundi, Nils Andri
Micheler, Johannes
Stockinger, Kurt
Published in : Data science applications
Editors of the parent work: Braschler, Martin
Stadelmann, Thilo
Stockinger, Kurt
Publisher / Ed. Institution : Springer
Publisher / Ed. Institution: Berlin
Issue Date: 2017
License (according to publishing contract) : Licence according to publishing contract
Type of review: Not specified
Language : English
Subjects : Stress test; Big data; Simulation; Financial risk
Subject (DDC) : 005: Computer programming, programs and data
332: Financial economics
Abstract: The state of data in finance makes near-time and consistent assessment of financial risks almost impossible today. The aggregate measures produced by traditional methods are rigid, infrequent and not available when needed. In this chapter we present the ACTUS approach of standardizing the modeling of financial contracts in view of financial analysis. Our approach provides a methodological concept together with a data standard and computational algorithms needed to overcome these limitations. We present a proof-of-concept of ACTUS-based financial analysis with real data provided by the European Central Bank. Our performance results in an Apache Spark based cloud computing environment show close to linear scalability of our approach.
Departement: School of Engineering
Organisational Unit: Institute of Applied Information Technology (InIT)
Institute of Data Analysis and Process Design (IDP)
Publication type: Book Part
URI: https://digitalcollection.zhaw.ch/handle/11475/4501
Appears in Collections:Publikationen School of Engineering

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