The Journal of Information Systems (한국정보시스템학회지:정보시스템연구)

Korea Association of Information Systems (한국정보시스템학회)
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Design of Flexible DSS Architecture for OTC Derivatives Trading: 'A' Bank Case

장외파생상품거래를 위한 유연한 의사결정지원시스템 아키텍처 설계에 관한 연구: A은행 사례

  • 이근우 (우리은행 트레이딩부) ;
  • 양근우 (계명대학교 사회과학대학 전자무역학과)
  • Received : 2011.01.24
  • Accepted : 2011.03.11
  • Published : 2011.03.31
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Abstract

Model-based decision support system (DSS) has acted as a crucial role in strengthening the business competitiveness by providing a way of modeling and solving real-world decision problems in a quantitative and scientific manner. It is even more important for trading OTC derivatives, which requires extensive financial-engineering expertise while actively reacting to the continuously changing financial market. This paper proposes a flexible model-based DSS architecture that can support user-friendly interface for executing and analyzing the models and can adapt to the changes of financial market seamlessly. For user-friendliness, we implement the user-interfaces (UIs) using Microsoft Excel, a very widely used spreadsheet program for its great generality and extensibility. Users can utilize the analysis results of DSS or reprocess them for their special needs through the UIs in the form of familiar spreadsheets easily. For adaptiveness to the markets, the proposed architecture is constructed based on the object-oriented concepts, which enables such changes as release of a new financial product can be updated into the system without any delay at the lowest cost. We investigate the practical benefits and limitations of the proposed architecture by a case study on the construction of Model-based Trading Support System (MTSS), performed by a commercial bank in Korea.

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References

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