Presentation: The Market Risk System
In this presentation recorded at QCon London 2008, David Harper and Dominique Delarue present the Market Risk System used by BNP to retrieve, store and analyze risk data for all trading activities of their bank.
Watch: The Market Risk System (1h)
At its core, the BNP market risk system is about data and is built around data because it is possible the technologies used to change in time, but the data is there to stay. The data collected comes in as 15,000 files from more than 40 systems each day, and is extracted, transformed and loaded into Sybase IQ, an analysis and data warehouse. The system processed a number of 5 billion entries in 2008, and is poised to grow to a total of 300 B by 2001.
The system is built using Java and some open source projects, Spring, Mule and ActiveMQ for messaging. The authors present the system in detail introducing the audience to the concept of market risk.
Roy Rapoport Aug 28, 2014