Risksvr™
History: An Impossible
Feat in the Making
The Risksvr™ calculation engine was designed by John Tissičres
in 1994/1995.
Risksvr™ was submitted as a Product Functional specification (PFS) and
Product Requirement Specification (PRS) in 1995 while he was working as
the Financial Mathematics Consultant of the European Middle East &
Africa Application Center HQ of the Leader in Financial Information.
The
Generic Financial Risk Server was meant to investigate the next
generation of Treasury and Risk Management products.
The project was very well received since it was deemed an ideal
solution to address the ever expanding list of financial products,
valuation approaches, assumptions and methodologies.
The idea generated rapidly (too) much interest from senior management,
which was then hyped by Marketing into a conceptual buzzword!
This abuse, especially from non-technical staff led to much suspicion
from developers.
With all the politics and pomp associated with large projects and
budgets, numerous gurus were brought in in order to share their
views:
RiskServer was largely deemed an improbable feat that was well
technically... impossible!
The project was thus killed, at least officially and legally with the
company that had initiated the project.
RiskServer was thus put on hold while we migrated to greener pastures
in the fields of Financial Engineering and Risk Management in London,
Palo Alto, New York Geneva & Zurich.
As expertise accumulated it became quite clear a generic Risk
Management Calculation Server was not as far fetched as many self
proclaimed gurus had proclaimed at the time.
In
1997 Further Research
was carried out in order to satisfy two primary objectives:
1)
Provide a generic platform that was completely transparent to un
unlimited amount of Users and thus was easy to setup, use and
support and yet offered no limitations in terms of Market, Credit and Liquidity analytics and
modeling methodologies.
2)
Provide the first truly generic holistic multi-stepped OO market,
credit & liquidity calculation server offering both unrivalled
speed, ease of integration and minimal footprint across platforms and
technologies.
The core architecture had indeed been laid down!
Five years on, this vision has crystallized into a unique engine that
hold on less than 4 megabytes of executable code on Windows platform
and 3.4 Mb on Unices ( including cash-flow generation and xml,csv,
value pair input output and rendering for Win32)!
Financial Risk Management Calculation Servers requires large amounts
of information to run. However, most of the data is common to all
users, since they are all derived from market prices.
To offer user friendliness, which was one of the basic requirements in
the Risksvr™ design, a series of modules and tools in c/c++ were
designed to provide full online and offline browser
access.
Indeed, Versions of Risksvr™ currently exist under different
packages and flavors:
From conventional standalone application on dos, Windows, Linux,
Crays, to Dedicated C++ webserver, ISAPI COM object, Apache Modules,
Java Native Interface Library, Excel dll (XLL), dedicated spreadsheet
server and distributed components.
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