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Church
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Build a risk management system in Matlab, R, SAS or something else?

November 30th, 2010, 8:51 pm

Hi,I want to build a risk management system where I have the flexibility to model the things I want (stochastic asset and liability values, VaR numbers, possibly replicating portfolios, etc), but using standard functionality where possible. The model should be reasonably transparent to allow for reviewing, validation and knowledge transfer. Which software is most suitable for this? My first thought were either Matlab, R or SAS, but there might be other possibilities.Thanks.
 
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Hansi
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Build a risk management system in Matlab, R, SAS or something else?

November 30th, 2010, 11:01 pm

Anything basically. Are multiple people going to be using this? Does it fall under any kind of review and/or ERM? How do you want it deployed?
 
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Church
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Build a risk management system in Matlab, R, SAS or something else?

December 1st, 2010, 8:59 am

Multiple people, review / validation internally and by regulator.
 
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Hansi
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Build a risk management system in Matlab, R, SAS or something else?

December 1st, 2010, 9:18 am

Then personally I'd build it in C# if you are mainly on Windows systems, C++ if on Unix ones. Something like this needs to be robust and containable where as Matlab and R are mainly disjoint and scripting based (have no experience with SAS so can't comment on that). Matlab and R are great but mainly for prototyping and checking stuff but it's hard to do production level stuff in them and you'd have to jump through way too many hoops to get it to a point where it provides a intuitive user experience and it gets certified for ERM purposes.
 
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ktang
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Build a risk management system in Matlab, R, SAS or something else?

December 1st, 2010, 9:45 am

i would like to see one in f# and/or kdb+
 
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Cuchulainn
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Build a risk management system in Matlab, R, SAS or something else?

December 1st, 2010, 9:45 am

Quote I want to build a risk management system where I have the flexibility to model the things I want What is the lifetime? throwaway prototype, 1, 5, 10, 20 years?
Last edited by Cuchulainn on November 30th, 2010, 11:00 pm, edited 1 time in total.
 
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Church
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Build a risk management system in Matlab, R, SAS or something else?

December 1st, 2010, 11:57 am

At least 5 - 10 years.
 
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terrorbyte
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Build a risk management system in Matlab, R, SAS or something else?

December 1st, 2010, 3:30 pm

I agree with Hansi. C# is great.And SAS is no better than MatLab or R.
 
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Church
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Build a risk management system in Matlab, R, SAS or something else?

December 1st, 2010, 6:58 pm

But does C# have lots of standard functionality or do you have to model everything yourself?Standard functionality does make the model more transparant and more easily transferable to other people.I might be mistaken, but it seems to me that C# is more suitable when you have a large department with several people with C# knowledge.
 
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Hansi
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Build a risk management system in Matlab, R, SAS or something else?

December 1st, 2010, 7:55 pm

QuoteOriginally posted by: ChurchBut does C# have lots of standard functionality or do you have to model everything yourself?Standard functionality does make the model more transparant and more easily transferable to other people.I might be mistaken, but it seems to me that C# is more suitable when you have a large department with several people with C# knowledge.You can generally get libraries for a lot of things, but if you want this to be certified you should make sure it's open source so you can verify the functionality. Having built in commands does nothing to promote transparency because a lot of the Matlab functions are binaries where you can't verify that the function isn't doing something weird in specific instances.C# can be utilized in any size of team, my boss basically built our main portfolio platform on his own in C#.It's much simpler to do the GUI, verify functionality, take care of connections and data storage, track and log audit trail for ERM etc.It's just all simpler with C# than jumping through hoops with the options you mentioned.
 
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Cuchulainn
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Build a risk management system in Matlab, R, SAS or something else?

December 1st, 2010, 8:03 pm

QuoteIt's just all simpler with C# than jumping through hoops with the options you mentioned. C# works pretty well with Microsoft products.
 
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Hansi
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Build a risk management system in Matlab, R, SAS or something else?

December 1st, 2010, 8:09 pm

QuoteOriginally posted by: CuchulainnQuoteIt's just all simpler with C# than jumping through hoops with the options you mentioned. C# works pretty well with Microsoft products.Yes as I mentioned above, if on Unix platform C++ is preferable as Mono is iffy.