Research on VaR Computing System of Commercial Banks Based on Accurate Scenario Data

DOI

10.2991/mmetss-16.2017.88How to use a DOI?

Keywords

Scenario Calculation, VaR calculation, System Architecture, Data Accuracy.

Abstract

Basing on scene analysis and VaR calculation, this paper discussed system architecture of scenario calculation and accurate data's importance of system model from the view of system theory. We also discussed several kinds of data errors and their processing methods to avoid the error of data. Then we discussed scenario engine architecture and detailed described function of each module as well as the process of data extraction to the scenario analysis. Last, we discussed the construction of VaR system and carried out a case study basing on stock price of Google in later two years. Through the analysis of case, we verified the feasibility of the system architecture.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yingliang Wu
AU  - Yuan Huang
AU  - Jiongen Xiao
PY  - 2017/02
DA  - 2017/02
TI  - Research on VaR Computing System of Commercial Banks Based on Accurate Scenario Data
BT  - Proceedings of the 2016 International Conference on Modern Management, Education Technology, and Social Science (MMETSS 2016)
PB  - Atlantis Press
SN  - 2352-5398
UR  - https://doi.org/10.2991/mmetss-16.2017.88
DO  - 10.2991/mmetss-16.2017.88
ID  - Wu2017/02
ER  -