Building an Internal Risk System with MATLAB
Peter Verhoog, Aegon
Srinivas Nemani, Aegon
Risk management became a high focus area after the subprime crisis in the United States and the sovereign debt crisis in Europe. Increased awareness from clients and new regulatory changes from legal bodies made it necessary to enhance and upgrade the risk management frameworks and tools at Aegon Asset Management. After carefully considering the pros and cons of buying a third-party risk management system versus building it internally, Aegon decided to develop a new risk management system in-house given the flexibility and control over functionality. The calculation engine is built in MATLAB® using agile software development practices that enable a quick feedback and correction loop. The in-house-developed risk system is called Risk Vision.
The presentation covers:
- Why Aegon used MATLAB to create a risk management system
- Goals, timelines, and development processes
- The current solution with its components and functionality
- A demonstration of Risk Vision
Recorded: 11 Jun 2015
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