Risk Measurement Implementation And System Performance Optimization Of A Market Risk Management System In Bank

Market risk of Commercial banks is a risk of loss in Commercial banks that caused by the change of interest rate, foreign exchange rate, stock and commodity price. The Basel committee launched the new Basel capital accord in 2004, clarified the market risk capital regulatory requirements. The purpose of banking market risk management system project is to reach the new Basel capital accord internal model method standards.Banking market risk management system is a financial system that used to monitor and manage market risk. It construct a unified platform of commercial banks to realize both market risk identification, measuring, monitoring, implementing market risk internal model method, efficient allocation of economic capital and performance assessment based on risk adjustment. Bank's overall market risk management level and the ability of innovation can be raised by using this system.This system is composed of reference data management, market data module, transaction data module, positions copy, scenario generation, valuation engine, risk measurement, back testing, stress testing, capital calculator, limit monitoring and reporting generator.The author mainly takes part in the development of reference database module and risk measurement module. This thesis include two parts, one is design and implementation of risk measurement module, after that, practice two database optimization method in Oracle database based on the feature of this module. Also from the system aspect, this paper proposes a new scheduling strategy, promoting the system performance from scheduling level. Performance testing shows that the performance of system has been improved greatly by using these optimization methods.