Provide financial risk management as service

Abstract

We present an innovative flexible computation support service for financial risk management. Commercial bank faces a higher requirement on quantitative risk management from Basel II accord. In practice, quantitative risk computation needs both the internal and external data, and the risk calculation models and corresponding parameters should be updated for a periods of time. To deal with these challenges, we propose a service oriented architecture based system, where flexible computation support services are provided for financial risk management. We present three main services in details. First, risk calculation service provides mathematical risk models and parameter learning functions. Second, business logic service adopts rule engine technology to integrate expert knowledge and mathematical model. Third, data management service provides the function for collection and management of internal and external data. These services collaborate to provide flexible quantitative risk management functions for commercial banks with a lower cost compared with the effort to develop their own risk management methodologies and systems. ©2010 IEEE.