Research on VaR Computing System of Commercial Banks Based on Accurate Scenario Data
Yingliang Wu, Yuan Huang, Jiongen Xiao
Available Online February 2017.
- https://doi.org/10.2991/mmetss-16.2017.88How to use a DOI?
- Scenario Calculation, VaR calculation, System Architecture, Data Accuracy.
- 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.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
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 - https://doi.org/10.2991/mmetss-16.2017.88 ID - Wu2017/02 ER -