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FX Risk Calculation: Why/How?

The talk was accepted to the conference program

Andrei Tuchin

JPMorgan Chase


How can one create a Market Risk System capable of providing real-time calculations for an entire portfolio, conducting strategy backtesting, performing hypothetical scenario analyses, and effectively analyzing and manipulating data.
Whether it's for an investment bank, a hedge fund, or any other business, the necessity for such a solution becomes apparent at a certain stage.

Drawing upon my experience in developing such systems from the ground up at several prominent investment banks, I'll endeavor to present common ideas on an architecture.