Browsing by Author "DEBBI, HICHEM"

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    Market Liquidity Risk Management Platform Based on Complex Event Processing
    (University of M'sila, 2011-06-10) DEBBI, HICHEM; Supervisor: DEBBI, AIMAD
    Since the last economic crisis, the management of liquidity risk has become one of the most challenging tasks in the global financihl system, what led the Basel Committee on Banking Supervision (BCBS) and The Financial Services Authority (FSA) to publish regulations and recommendations on liquidity risk management and supervision. Therefore, all the institutions should apply Uquidity risk management requirements and build robust platforms thai haye the abilty to monitor risk as fast as possible by capturing and collecting all relevant data from funding liquidity and Market liquidity sources. Complex Event Processing (CEP) is an Event Driven Architechrre (EDA) style consists of processing different events within the distributed enterprise system, attempting to discover interesting information in timely manner. For financial enterprises, it is very necessary to react imrnediately for information, because any information rnight represent an opportunity or risk exposure' In this dissertation, we propose a market tiquidity risk management platform based on CEP. We combine between the monitoring of real-time risk factors, and the forecasting of intraday risk using intraday Liquidityadjusted Value at Risk (L-VaR) model