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"Navigating between Risk and Return"
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STALEMATE KDD Lab:
  Knowledge-based Systems for Financial Engineering
and Risk Management

STALEMATE
  KDD Lab

Introduction

Within the STALEMATE KDD Lab the Knowledge-Based System Design (KBSD) Environment is being applied vertically to financial engineering and risk management as staging area. A light-weight, portable, knowledge-management tool, it offers facilities for modeling, simulation and application generation in support of front-office decision making and product development on the buy and sell sides within a Straight-Through Processing (STP) architecture..
The core business processes/contexts addressed include:
  • asset/liability management (including minimizing tax liability)
  • corporate finance
  • arbitrage
  • equity-based strategies
The general integrated financial model used encompasses underlying asset/liability classes including:
  • fixed-income securities (money, bonds, debt and credit instruments)
  • foreign exchange
  • equity
  • commodities: hard (minerals, metals), soft (agricultural produce), energy
  • collateralized debt obligations (including mortgage-backed)
  • credit instruments
  • hybrid securities
Derivatives and related instruments for these classes include:
  • spots and forwards
  • swaps
  • options (plain vanilla, single-/multi-period, forward start, compound, barrier, look back)
  • futures
  • caps, floors, swaptions
  • hybrid instruments
Risk management for each instrument within an asset class is incorporated where applicable with respect to:
  • investor risk
  • market risk
  • credit risk
  • operational risk (model, enterprise, system and security aspects)