etrm reporting and market risk

ETRM Reporting and Market Risk Management

Wongyu Choe May & June Consulting [email protected] Jan 2016

mailto:[email protected]

Overview

• ETRM Reporting Tool (BI Reporting)

• Market Risk Solution (VaR Solution)

- CXL-based Reporting - Custom Exposure Calculation (a.k.a. Pricing Exposure) - P&L Attribution - User-friendly, web-based reporting based on ExtJS library - Complete end-to-end process including automatic EOD interface

- Web-Based Trade Blotter

- ETRM-independent Market Risk Solution - External Price interface and Custom Curve Generation - SMA / EWMA VaR, Historical VaR, VaR Attribution - Exotic Derivatives ( Options, TARS, Knock-Outs, Collar, etc.) - Web Based Reporting

• As a “Platform”, customized to business need

[email protected], May & June Consulting


Data Flow

• Automatic Interface from CXL

Category Data Interface

Reference data Strategy, curve & quote, person, commodity, and others

Every 20 minutes Incremental, retrieve changed entries only

Transaction Data Trade & operation data

Price Data Cash and forward prices

EOD Result Position, Position Attributes Automatic, whenever EOD completed

• External Price Interface

- via FTP ( Exchanges, Price Reporting Agencies ) - from Excel files stored in file server folder (Broker Indications) - manual input (using Web UI) - Bloomberg Data



BI Reporting

Market Data

Exposure

P&L

Trade

Operation

EOD / Admin

• Market Quote

• Forward Price

• CXL Exposure

• Customized “Price” Exposure for Physical Trades

• P&L Drill-Down

• P&L Attribution

• Trade Document Flow

• Stock Inventory Report

• Run EOD / EOD Checklist to filter possible errors

• Admin and system usage reporting

Based on past implementation.

May add custom reports

on request.



VaR

Curve Generation

VaR Calculation

Reporting

Simulation Scenario

Structured Derivatives

Reference Data

• Collect prices from various sources including NYMEX, ICE, Bloomberg and Platts • Generate composite curves using various ‘curve arithmetic’ • Normalization ( translate curve to different time snapshot )

• EWMA / SMA VaR, Historical VaR • VaR Attribution

• Web-based reporting on price, exposure, VaR • complete control over VaR calculation using Web-based UI

• Interactive VaR simulation at position level • Factor model & Factor-based VaR/P&L Simulation

• Exotic derivatives – cap, floor, collar, TARS, knock-out options/swaps • valuation thru Monte Carlo simulation

• Independent configurable options including portfolio, limit, horizon, decay factor, etc. • Full control over VaR calculation and reporting



BI Report – Exposure Report

• Selection Fields • Supports ‘user setting’ per page

Row-wise / Column-Wise Daily/Monthly “Natural” UoM support Drill-Down pop-up Excel Export

• ExtJS based Rich UI • Fast – batch process report data



BI Report –P&L Attribution Report

P&L Attribution • Customized P&L Attribution • Support Drill-Down (Lower Panel) & Excel Export

Drill-Down • Configurable Tree • Excel Download

• Analyze P&L Attribution using CXL EOD Data



BI Report – Stock Inventory



VaR - Curve Generation

• An end-to-end tool to generate forward prices, from collecting external prices to normalization



VaR – Value at Risk Summary

• Parametric VaR

• Historical VaR (Interactive)



Interactive VaR Simulation

• EOD Position + User Position • Can Add/Delete/Edit Position quantities and calculate VaR



System Architecture

• Oracle Database, Oracle HTTP Server (OHS) and Oracle Rest Data Service (ORDS) • Oracle APEX as web application engine • R as the calculation engine for VaR and exotic derivatives pricing • PL/SQL for data interface and exposure/P&L calculation • 100% Internal Code

System Usage

• Up-and-running since last Sep • Used for daily exposure, P&L and VaR reporting



Thank you.



etrm reporting and market risk

Documents