Title: A prototyping platform for contract based financial simulation and analysis in R
Authors : Breymann, Wolfgang
Conference details: 7th R/Rmetrics Meielisalp Workshop & Summer School on "Computational Finance and Financial Engineering" in Honour of Professor Dr. Diethelm Würtz on the Occasion of his 60th Birthday, ETH Zurich, Rmetrics Association Zurich, Meielisalp, 30 June–4 July 2013
Issue Date: 2013
License (according to publishing contract) : Licence according to publishing contract
Type of review: No review
Language : English
Subject (DDC) : 332: Financial economics
Abstract: The School of Engineering of Zurich University of Applied Sciences has approved a credit for 2013 for the build-up of a prototype-modeling platform for integrated financial and risk modeling. At the same time the project ACTUS (Algorithmic Contract Types Unified Standard) started, which is financed by the Alfred P. Sloan Foundation and situated at the Stevens Institute of Technology in New York. The aim of this project is the development of a standard language for financial contract modeling and contract-centric analytical framework. At the basis of both projects is the same concept, namely the UFA methodology, which implies a considerable synergy potential. The central element of the model is the financial contract, which is modeled in an environment of market risk factors, counterparties risk factors and behavioral risk factors. The strict separation of financial contracts from risk factors is an important architectural choice. A financial contract is represented as the algorithmic counterpart of the legal rules making up the “real” financial contract. These rules are deterministic, in contrast to the stochastic risk factors. Together, contracts and risk factors make up the input factors. Given a state of all risk factors, contract events can be generated through the CT specific algorithms, from which the cash flow streams are derived. The cash flows are subject to various kind of analysis as to liquidity, value, income, sensitivity, and risk. The separation of contracts and risk factors make it possible to open up the system for third-party contributions of risk factor models while contract modeling can be encapsulated and possibly certified. In the talk an introduction into the methodology as well as an overview of the actual state of the project will be given, including a web-demo.
Departement: School of Engineering
Organisational Unit: Institute of Data Analysis and Process Design (IDP)
Publication type: Conference Other
URI: https://digitalcollection.zhaw.ch/handle/11475/4568
Appears in Collections:Publikationen School of Engineering

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