System and method for quantitative analysis of foreign exchange investment risk through big data

A quantitative analysis and big data technology, applied in the field of big data applications, can solve the problem of inability to determine the best delivery time of foreign exchange transactions, and achieve the effect of reducing market risks

Inactive Publication Date: 2018-01-19
SICHUAN CHANGHONG ELECTRIC CO LTD
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Problems solved by technology

[0005] The difficulty of the foreign exchange investment risk model based on big data is to determine the negative risks of different foreign exchange at different delivery times under the normal dynamic fluctuation of the market, and it is impossible to determine the best delivery time of each foreign exchange transaction

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  • System and method for quantitative analysis of foreign exchange investment risk through big data

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Embodiment Construction

[0034] The present invention aims to propose a system and method for quantitatively analyzing foreign exchange investment risks using big data, so as to evaluate the risk maximum loss value of different foreign exchange at different delivery times under normal dynamic fluctuations in the market, for intuitive reference by enterprises.

[0035] In terms of specific implementation, the system in the present invention includes: a data acquisition module, a data storage module, a data processing module, a big data foreign exchange investment VaR risk model algorithm module, and a model result output display module;

[0036] The data collection module is to introduce the lowest-level foreign exchange business system data, third-party website data and some manual data into database storage in different ways;

[0037] The data storage module is for associatively storing the collected raw data and the processed data, and supports incremental storage;

[0038] The data processing modul...

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Abstract

The invention belongs to the technical field of big data applications, and discloses a system and method for the quantitative analysis of a foreign exchange investment risk through big data, so as toestimate the maximum risk loss values of different foreign exchanges at different settlement moments under the normal dynamic fluctuation of a market, and to provide the maximum risk loss values for an enterprise as a visual reference. The method comprises the steps: a, inputting the system data of the lowermost foreign exchange services, the third-side website data and a part of manual operationdata into a database for storage in different modes; b, carrying out the ETL processing of the foreign exchange service data according to data requirements proposed by a model; c, carrying out the correlated storage of the collected original data and the processed data; d, building a model according to the processed data, finally outputting a big data foreign exchange investment VaR risk model through continuous optimization and machine learning, so as to achieve the quantitative measurement of a risk; e, carrying out the graphical visualized display of the measurement result of the foreign exchange investment risk quantification model.

Description

technical field [0001] The invention belongs to the field of big data application technology, and in particular relates to a system and method for quantitatively analyzing foreign exchange investment risks by using big data. Background technique [0002] Financial risk management is the core content of all business and management activities of various financial institutions, and it is called the three pillars of modern financial theory together with time value and asset pricing. Financial risk management is divided into four steps: identifying risk, measuring risk, dealing with risk, and assessing and adjusting risk management. Among them, the measurement of financial risk is the core link of financial market risk management. The quality of risk measurement largely determines the effectiveness of financial market risk management; the selection of reasonable risk measurement indicators is an effective guarantee for improving the quality of risk measurement. Therefore, combi...

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q10/06G06Q40/06
Inventor 罗小娅李柯
Owner SICHUAN CHANGHONG ELECTRIC CO LTD
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