EAGER: III: CIFRAM: Distributed Computing Approaches for the Analysis of Enterprise and Systemic Risk using a Financial Contract-Based Infrastructure

在最近的金融危机之后，监管回应和学术倡议推动了对系统性风险衡量的重大研究。然而，大多数系统性风险模型都受到现有数据和计算平台的限制。许多研究人员认为，如果市场参与者之间的关系和契约安排能够在细粒度水平上建模，那么理解系统性风险的可能性将大大增强。这项研究的目的是通过建立底层分布式计算平台的模型(和实施)来促进我们对利用细粒度数据(交易、位置和其他)的系统风险监控方法的理解。本研究重点在于实施参考架构和技术平台，该参考体系结构和技术平台旨在迎合金融系统的特定数据结构，并解决与使用细粒度合同级数据分析系统风险相关的计算需求。研究工作集中于以下两个目标：(1)使用可伸缩数据库技术评估和实施细粒度合同级数据模型。这将需要分析替代设计模式和数据模型，评价数据库技术(包括关系模型，但特别侧重于NoSQL领域)，并使用最佳匹配技术实施数据模型；(2)基于基础数据库基础的分布式计算方法的原型制作和评价。这将需要使用MapReduce或其他并行计算框架来利用许多处理资源的能力。Actus(算法合同类型统一标准)计算引擎将与计算环境集成，以提供细粒度的事件向量和状态应急现金流。基于细粒度的现金流信息，这项研究将对用于计算摘要分析的各种聚合框架进行原型、测试和评估。有关详细信息，请参阅项目网站：http://www.usf.edu/business/departments/isds/projects/gsrisk

Following the recent financial crisis, regulatory responses and academic initiatives spurred significant research into the measurement of systemic risk. Most systemic risk models are bound however by the constraints of available data and computing platforms. Many researchers argue that the possibilities for understanding systemic risk will be greatly enhanced if the relationships and contractual arrangements between markets participants can be modeled at a granular level. The objective of this research is to accelerate our understanding of systemic risk monitoring approaches that leverage granular data (transactional, positional and other) by establishing a model for (and implementation of) the underlying distributed computing platform.This research focuses on the implementation of a reference architecture and technical platform designed to cater to the specific data fabric of the financial system and addressing the computational requirements associated with the analysis of systemic risk using granular contract-level data. Research efforts are focused around the following two objectives: (1) Evaluation and implementation of granular contract-level data models using scalable database technologies. This will entail the analysis of alternative design patterns and data models, the evaluation of database technologies (including the relational model but with specific focus on the NoSQL universe) and the implementation of data models using the best fit technology; (2) Prototyping and evaluation of distributed computing approaches based on the underlying database foundation. This will entail using MapReduce or other parallel computing frameworks to harness the power of many processing resources. The ACTUS (Algorithmic Contract Types Unified Standard) calculation engine will be integrated with the computing environment in order to provide granular event vectors and state-contingent cash flows. Building on the granular cash flow information, this research will prototype, test and evaluate various aggregation frameworks for the calculation of summary analytics.For further information see the project web site: http://www.usf.edu/business/departments/isds/projects/gsrisk