ETRM Reporting and Market Risk

ETRM Reporting and Market Risk Management
Wongyu Choe
May & June Consulting
wgchoe@hotmail.com
Jan 2016

Overview
• ETRM Reporting Tool (BI Reporting)
• Market Risk Solution (VaR Solution)
- CXL-based Reporting
- Custom Exposure Calculation (a.k.a. Pricing Exposure)
- P&L Attribution
- User-friendly, web-based reporting based on ExtJS library
- Complete end-to-end process including automatic EOD interface
- Web-Based Trade Blotter
- ETRM-independent Market Risk Solution
- External Price interface and Custom Curve Generation
- SMA / EWMA VaR, Historical VaR, VaR Attribution
- Exotic Derivatives ( Options, TARS, Knock-Outs, Collar, etc.)
- Web Based Reporting
• As a “Platform”, customized to business need
wgchoe@hotmail.com, May & June Consulting

Data Flow
• Automatic Interface from CXL
Category Data Interface
Reference data Strategy, curve & quote, person,
commodity, and others
Every 20 minutes
Incremental, retrieve
changed entries only
Transaction Data Trade & operation data
Price Data Cash and forward prices
EOD Result Position, Position Attributes Automatic, whenever EOD
completed
• External Price Interface
- via FTP ( Exchanges, Price Reporting Agencies )
- from Excel files stored in file server folder (Broker Indications)
- manual input (using Web UI)
- Bloomberg Data

BI Reporting
Market Data
Exposure
P&L
Trade
Operation
EOD / Admin
• Market Quote
• Forward Price
• CXL Exposure
• Customized “Price” Exposure for Physical Trades
• P&L Drill-Down
• P&L Attribution
• Trade Document Flow
• Stock Inventory Report
• Run EOD / EOD Checklist to filter possible errors
• Admin and system usage reporting
Based on past
implementation.
May add custom reports
on request.

VaR
Curve Generation
VaR Calculation
Reporting
Simulation
Scenario
Structured
Derivatives
Reference Data
• Collect prices from various sources including NYMEX, ICE, Bloomberg and Platts
• Generate composite curves using various ‘curve arithmetic’
• Normalization ( translate curve to different time snapshot )
• EWMA / SMA VaR, Historical VaR
• VaR Attribution
• Web-based reporting on price, exposure, VaR
• complete control over VaR calculation using Web-based UI
• Interactive VaR simulation at position level
• Factor model & Factor-based VaR/P&L Simulation
• Exotic derivatives – cap, floor, collar, TARS, knock-out options/swaps
• valuation thru Monte Carlo simulation
• Independent configurable options including portfolio, limit, horizon, decay factor, etc.
• Full control over VaR calculation and reporting

BI Report – Exposure Report
• Selection Fields
• Supports ‘user setting’ per page
Row-wise / Column-Wise
Daily/Monthly
“Natural” UoM support
Drill-Down pop-up
Excel Export
• ExtJS based Rich UI
• Fast – batch process report data

BI Report –P&L Attribution Report
P&L Attribution
• Customized P&L Attribution
• Support Drill-Down (Lower Panel) & Excel Export
Drill-Down
• Configurable Tree
• Excel Download
• Analyze P&L Attribution using CXL EOD Data

BI Report – Stock Inventory

VaR - Curve Generation
• An end-to-end tool to generate forward prices, from collecting external prices to
normalization

VaR – Value at Risk Summary
• Parametric VaR
• Historical VaR
(Interactive)

Interactive VaR Simulation
• EOD Position + User Position
• Can Add/Delete/Edit Position quantities and calculate VaR

System Architecture
• Oracle Database, Oracle HTTP Server (OHS) and Oracle Rest Data Service (ORDS)
• Oracle APEX as web application engine
• R as the calculation engine for VaR and exotic derivatives pricing
• PL/SQL for data interface and exposure/P&L calculation
• 100% Internal Code
System Usage
• Up-and-running since last Sep
• Used for daily exposure, P&L and VaR reporting

Thank you.

ETRM Reporting and Market Risk

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