| 摘要 |
A system and method for performing Value at Risk (VaR) analysis at a large volume scale. The system employs two basic types of elements in its architecture: controllers and brokers. Controllers are engines that perform actual processing of data, while brokers manage the access to and from the data resources. Controllers of the present invention have three main components, an input queue, a manager and workers. The controllers retrieve units of work from the incoming queue, process the units, and place the result onto an outgoing queue. The outgoing queue of one controller is shared with the next element in the processing chain. Brokers are responsible for maintaining pool of common resources and providing access to those resources to a requestor (i.e., a controller). In the preferred embodiment, the resource is a data source, such as a database containing market pricing data. The broker accesses the data source though an adapter. In addition to accessing data from the data source a broker maintains a cache of cacheable elements. The system of the present invention further includes a query subsystem for generating reports relating the risk positions.
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