High performance multi-dimensional risk engines for enterprise wide market risk management

A method for performing risk analysis of a portfolio of positions, the method comprising:

• receiving position data describing at least some of the positions in the portfolio;
• valuing the position data by a controller, the controller having a plurality of workers;
• automatically scaling a number of workers in the controller in regard to the volume of position data;
• and
• retrieving valuation data required by the controller in order to perform the valuation.

A system for performing risk analysis of a portfolio of positions, the system comprising:

• a position controller, the position controller constructing a position object for each position received by the position controller;
• a risk exposure controller coupled to the position controller, the risk exposure controller receiving the position object from the position controller and creating at least one risk exposure and hypothetical market data for at least one scenario with respect to the at least one risk exposure;
• and
• a valuation range controller coupled to the risk exposure controller, the valuation range controller valuing the at least one scenario associated with the at least one risk exposure.

A query system for use in a risk analysis system containing a portfolio of positions, the query system comprising:

• a portfolio controller receiving a query from a user, the portfolio controller determining risk positions required to satisfy the query;
• a cube controller coupled to the portfolio controller, the cube controller receiving and aggregating the risk positions;
• an expansion controller coupled to the cube controller, the expansion controller building a multidimensional cube of cells from the aggregated risk positions;
• and
• an analytical controller coupled to the expansion controller, the analytical controller calculating characteristics contained in the query using the multidimensional cube of cells.