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ACTUS Risk Demonstrator

Description

The goal of the Research is to provide an interactive prototype demonstrating the power of an ACTUS-based measurement and analysis environment for the needs of ECB. It is envisioned in the Research that the prototype will be able to show the possibilities offered by such an approach at different levels of complexity and on different scales. The resources required strongly depend on the level of complexity of the analysis and the scale of the system, as well as on the degree of engineering refinement of and experience with the model used. The focus will be on a flexible and appealing representation of input and output of the simulation such that the system can be used by non-experts. Input and output will be provided in form of a graphical user interface (GUI). It is envisioned that a basic feature might be the possibility to report the positions at the most granular level, i.e., the level of the individual contract, combined with the possibility to aggregate the contract-level results according to flexible criteria. This gives the user the possibility to create statistics “on the fly” in nearly real time. In addition, the aggregation criteria can be defined by the user. This makes it possible to define new types of statistics in an adhoc manner. The demonstrator envisioned in the Research should show the conceptual possibility to represent all types of financial contract in a mathematically precise way and such that the solution is scalable. The system will be able to be deployed from single machines till cloud-based servers with an adequate control of access rights. In addition, ACTUS contracts can also be implemented in a blockchain or DLT environment [4]. How to do this in a full-fledged, operational environment, however, has still to be developed in detail. The aim of the project is to undertake a first step in this direction and to indicate which way to go to implement this in a full-fledged system. The overall aim of the Research is to build a data infrastructure that should be able to be used for both, the operational environment of the industry and an environment supporting supervisory tasks and analysis in near time for the regulator.

Key Data

Project team

Francis Gross, Matas Pocevicius

Project partners

Europäische Zentralbank

Project status

completed, 12/2018 - 12/2019

Funding partner

Europäische Zentralbank

Project budget

19'900 EUR