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ETRM Reporting and Market Risk Management
Wongyu Choe May & June Consulting [email protected] Jan 2016
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
[email protected], May & June Consulting
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.
[email protected], May & June Consulting
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
[email protected], May & June Consulting
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
[email protected], May & June Consulting
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
[email protected], May & June Consulting
VaR - Curve Generation
• An end-to-end tool to generate forward prices, from collecting external prices to normalization
[email protected], May & June Consulting
VaR – Value at Risk Summary
• Parametric VaR
• Historical VaR (Interactive)
[email protected], May & June Consulting
Interactive VaR Simulation
• EOD Position + User Position • Can Add/Delete/Edit Position quantities and calculate VaR
[email protected], May & June Consulting
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
[email protected], May & June Consulting