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https://doi.org/10.21256/zhaw-4052| Publication type: | Conference paper |
| Type of review: | Peer review (publication) |
| Title: | Large-scale data-driven financial risk modeling using big data technology |
| Authors: | Stockinger, Kurt Heitz, Jonas Bundi, Nils Andri Breymann, Wolfgang |
| DOI: | 10.1109/BDCAT.2018.00033 10.21256/zhaw-4052 |
| Proceedings: | 2018 IEEE/ACM 5th International Conference on Big Data Computing Applications and Technologies (BDCAT) |
| Page(s): | 206 |
| Pages to: | 207 |
| Conference details: | 5th International Conference on Big Data Computing, Applications and Technologies (BDCAT), Zurich, Switzerland, 17-20 December 2018 |
| Issue Date: | 2018 |
| Publisher / Ed. Institution: | IEEE |
| ISBN: | 978-1-5386-5502-3 |
| Language: | English |
| Subjects: | Big data; Data modeling; Parallel processing; Computational finance |
| Subject (DDC): | 332.6: Investment |
| Abstract: | Real-time financial risk analytics is very challenging due to heterogeneous data sets within and across banks world-wide and highly volatile financial markets. Moreover, large financial organizations have hundreds of millions of financial contracts on their balance sheets. Since there is no standard for modelling financial data, current financial risk algorithms are typically inconsistent and non-scalable. In this paper, we present a novel implementation of a real-world use case for performing large-scale financial risk analytics leveraging Big Data technology. Our performance evaluation demonstrates almost linear scalability. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/13175 |
| Fulltext version: | Published version |
| License (according to publishing contract): | Not specified |
| Departement: | School of Engineering |
| Organisational Unit: | Institute of Computer Science (InIT) Institute of Data Analysis and Process Design (IDP) |
| Published as part of the ZHAW project: | Large Scale Data-Driven Financial Risk Modelling |
| Appears in collections: | Publikationen School of Engineering |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| datfrismo_poster_paper_bdcat.pdf | 162.54 kB | Adobe PDF |  View/Open |
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Stockinger, K., Heitz, J., Bundi, N. A., & Breymann, W. (2018). Large-scale data-driven financial risk modeling using big data technology [Conference paper]. 2018 IEEE/ACM 5th International Conference on Big Data Computing Applications and Technologies (BDCAT), 206–207. https://doi.org/10.1109/BDCAT.2018.00033
Stockinger, K. et al. (2018) ‘Large-scale data-driven financial risk modeling using big data technology’, in 2018 IEEE/ACM 5th International Conference on Big Data Computing Applications and Technologies (BDCAT). IEEE, pp. 206–207. Available at: https://doi.org/10.1109/BDCAT.2018.00033.
K. Stockinger, J. Heitz, N. A. Bundi, and W. Breymann, “Large-scale data-driven financial risk modeling using big data technology,” in 2018 IEEE/ACM 5th International Conference on Big Data Computing Applications and Technologies (BDCAT), 2018, pp. 206–207. doi: 10.1109/BDCAT.2018.00033.
STOCKINGER, Kurt, Jonas HEITZ, Nils Andri BUNDI und Wolfgang BREYMANN, 2018. Large-scale data-driven financial risk modeling using big data technology. In: 2018 IEEE/ACM 5th International Conference on Big Data Computing Applications and Technologies (BDCAT). Conference paper. IEEE. 2018. S. 206–207. ISBN 978-1-5386-5502-3
Stockinger, Kurt, Jonas Heitz, Nils Andri Bundi, and Wolfgang Breymann. 2018. “Large-Scale Data-Driven Financial Risk Modeling Using Big Data Technology.” Conference paper. In 2018 IEEE/ACM 5th International Conference on Big Data Computing Applications and Technologies (BDCAT), 206–7. IEEE. https://doi.org/10.1109/BDCAT.2018.00033.
Stockinger, Kurt, et al. “Large-Scale Data-Driven Financial Risk Modeling Using Big Data Technology.” 2018 IEEE/ACM 5th International Conference on Big Data Computing Applications and Technologies (BDCAT), IEEE, 2018, pp. 206–7, https://doi.org/10.1109/BDCAT.2018.00033.
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