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Building Real-Time Portfolio Risk Calculation System: Issues and Solutions

Andrei Tuchin

from JPMorgan Chase (UK)

About speaker

JPMC, VP
Deutsche Bank
University of Oxford
Nara Institute of Science and Technology

About speakers company

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Abstracts

How can one create a Market Risk System capable of providing real-time calculations for an entire portfolio, conducting strategy backtesting, performing hypothetical scenario analyses, and effectively analyzing and manipulating data.
Whether it's for an investment bank, a hedge fund, or any other business, the necessity for such a solution becomes apparent at a certain stage.

Drawing upon my experience in developing such systems from the ground up at several prominent investment banks, I'll endeavor to present common ideas on an architecture.

The talk was accepted to the conference program