Automated risk calculation for structured financial products

In a bank huge and complex Excel spreadsheets are used by traders to calculate the risk-per-book for structured financial products. The Excel spreadsheets do not calculate itself the risk, but are used as front-end for calculations done by server-based Monte-Carlo simulations. Due to audit requirements, the risk calculations must run additionally in a "controlled and automated environment" without user interaction. The calculation framework and the Excel spreadsheets are constantly enhanced by the quantitative analysts from the trading department. This leads to the necessity of a constant update of the "controlled and automated environment".

Tasks

• Develop a method to transfer the Excel spreadsheets and software libraries (need to change references and links)
• Develop control procedures for the traders for the start or repetion of calculation runs
• Develop a program for the automated risk calculation on dedicated workstations

Components of the application

• VB.NET Windows Forms Application (Deployment Utility) to transfer components
• ASP.NET Web Frontend for traders (start / repeat risk calculation jobs)
• ASP.NET Web Frontend for administrators for job surveillance
• VB.NET Console Application to automate Excel on dedicated workstations