| dc.description.abstract | With the increasing need of international financial trade and the expanded scope of financial tools, the status of dealing room is becoming more and more important. And faced with prompt changes in the financial market, the financial institutions demand for more sophisticated risk management system to assist risk managers in the practices of risk management. In virtue of the situation and market trend, this thesis probes into the risk management of dealing room.
Firstly, the thesis introduce the processes and functions of front office, Middle office, and Back office and give an overview of dealing room environment. Besides, the construction of STP（Straight Through Processing）environment in the financial industry is also involved in the research. Second, the coordination of reference regarding risk management is in the Chapter 3 of this thesis, including the analysis of risk sources financial institutions are faced with, the framework of risk management, and methodology for measuring risk. In addition, the topic for discussion is the development process and current market condition of the risk management system. Among the various risk management systems, Kondor+ of Reuters is the most popular in the local market. This thesis builds up a portfolio in Kondor+, runs a case simulation with Kondor+, and evaluate the system in views of an user.
The Chapter 4 of this thesis focuses on the“Basel Capital Accord”proposed by Basel Committee and discusses how Kondor+ can fit the requirement of the capital requirement of the Accord. This thesis runs a case simulation with Kondor+ and proceeds some risk analysis for the established portfolio, including the calculation of VaR and capital requirement analysis. In the end of the Chapter 4, the“New Basle Capital Accord” proposed by Basel Committee in Jan. 2001 is under discussion and compared with the current version. Lastly, this thesis evaluates the whole risk management system ( Kondor+ ) and makes some conclusions for reference. Most importantly, the Appendix is an evaluation report of risk management system provided by a certain local bank, which offers some valuable consultation for banks preparing for importing a risk management system. | en_US |