KR102141651B1 - Method and apparatus for providing a service for determining the risk of derivatives trading of funds in real-time - Google Patents

Abstract

An embodiment of the present invention relates to a method and apparatus for providing a service for determining the risk of trading derivatives of a fund in real time. According to an embodiment of the present invention, through a method of determining the risk of trading derivatives of a fund in real time, derivatives transaction details and spot transaction details are received and processed in real time at the beginning of an exchange market, and a risk ratio is calculated so that if a loss occurs before the market closure, it is possible to take precautions.

Description

Method and apparatus for providing a service for determining the risk of derivatives trading of funds in real-time}

An embodiment relates to a method and apparatus for providing a service for real-time determination of the risk of trading derivatives of a fund.

Derivatives are financial products whose prices are determined by changes in the value of the underlying asset, which is likely to cause losses from various factors (interest rates, stock prices, exchange rates, etc.). The asset manager calculates the correlation coefficient between the derivatives and the spot in possession when trading the derivatives in the funds that the fund manager is in charge of, and offsets the risk amount by the correlation coefficient ratio to calculate the risk ratio of the funds held. In order to calculate the ratio of the amount of risk held by the fund, the market for tetanic exchanges is terminated, and the exchange market such as stocks, bonds, etc. is closed, and the asset is closed after receiving the closing price of each asset. The ratio of the amount of risk is calculated based on the final evaluation amount of the product and the spot.

If the fund managed by the asset manager's fund manager has a higher risk ratio than the ratio set for each fund in the system according to the derivatives transaction, it is necessary to recognize the risk and take measures to resolve it. After the closing of the exchange, the closing price of each asset is evaluated and the actual risk ratio is calculated after late evaluation. In this case, there is no way to deal with the high limit set for each fund. Therefore, it is necessary to monitor the risk ratio in real time before the exchange market starts and the market ends. In addition, the regulation on the ratio of derivatives' risk to the fund is a very important part to be checked by financial authorities as well.

[Previous technical document number]

Prior Art 1: Korean Registered Patent 10-1040602

Prior Art 2: Korean Patent Publication No. 2016-0022555

Various embodiments are to provide a method and apparatus for providing a service that determines in real time the risk of trading derivatives of a fund. The technical problem to be achieved by the present disclosure is not limited to the technical problems as described above, and other technical problems may be inferred from the following embodiments.

In order to achieve the above technical problem, as a method of providing a service for real-time determination of the risk of trading derivatives of a fund according to an embodiment, receiving transaction details traded through a predetermined trading system for each asset of the fund ; Receiving basic data of at least one of derivatives of equity funds, bond derivatives and foreign derivatives of the fund through an external information providing system; Calculating a correlation coefficient between the spot holdings of the fund and the basic data of the at least one derivative product based on the transaction details; Calculating a risk amount for each derivative of the fund using the calculated correlation coefficient; And determining a ratio of the risk of derivatives of the fund based on the calculated sum of the risks of each derivative and the estimated net asset value of the fund based on the transaction details.

The method of providing a service for real-time determination of the risk of trading derivatives of the fund further includes setting a reference risk ratio, and when the determined risk ratio exceeds the preset reference risk ratio, It is characterized by outputting an alarm message.

The basic data of the stock derivatives include the KOSPI 200 index, the KOSDAQ 150 index, delta, gamma, vega, volatility, and quotes of the stock derivatives,

The basic data of the bond derivatives include the basic asset price and the closing price of the bond,

The basic data of the overseas derivatives is characterized by including the basic asset price and the closing price of overseas assets.

When the stock derivative product is a future, the daily coefficient of change of the KOSPI 200 index or the KOSDAQ 150 index and the daily rate of change of the KOSPI 200 or KOSDAQ 150 items corresponding to the held spot are based on the past year. It is characterized by calculating.

When the stock derivative is an option, it is characterized in that the correlation coefficient is calculated based on the delta risk amount, gamma risk amount, and vega risk amount calculated according to the following equation (1).

[Equation 1]

Delta risk = basic asset price * number of contracts * multiplier * delta

Gamma risk = number of contracts*multiplier*0.5*(basic asset price *calculated fluctuation)^2*gamma

Vega risk = number of contracts*multiplier*0.25*basic asset volatility(%)*Vega

The bond derivative product is characterized in that it calculates the correlation coefficient based on the past year value of the daily change rate of the basic asset according to the basic asset price and the closing price of the bond and the daily change rate of the bond corresponding to the held spot.

The foreign-derived product is characterized by calculating the correlation coefficient based on the past year value of the daily change rate of the basic asset and the daily change rate of the foreign asset corresponding to the held spot according to the basic asset price and the overseas asset closing price.

In the method of providing a service for real-time determination of the transaction risk of derivatives of the fund, when the correlation coefficient is equal to or greater than a predetermined threshold, the holdings are offset to correspond to the amount of the at least one derivative. If the product is one or more bond derivatives, the correlation of the holdings is offset in the order in which the value of the correlation coefficient is large, and the correlation coefficient is large when a predetermined holding is overlapped with a plurality of bond derivatives and exceeds a predetermined threshold. It is characterized by offsetting derivatives.

An apparatus for providing a service for real-time determination of the risk of trading derivatives of a fund according to another embodiment for achieving the above technical problem, comprising: a memory; Communication department; And a processor,

The processor receives a transaction history that is traded through a predetermined trading system for each asset of the fund, and at least one of derivatives of stock derivatives, bond derivatives, and foreign derivatives of the fund through an external information providing system. Receives basic data, calculates a correlation coefficient of the fund's holdings based on the transaction details and the basic data of the at least one derivative, and calculates the risk amount of each derivative of the fund using the calculated correlation coefficient Then, the ratio of the derivatives risk of the fund is determined based on the calculated sum of the risks for each derivative and the estimated net asset value of the fund based on the transaction details.

The processor may be configured to preset a reference risk ratio and output an alarm message when the determined risk ratio exceeds the preset reference risk ratio.

The basic data of the stock derivatives include the KOSPI 200 index, the KOSDAQ 150 index, Delta, Gamma, Vega, volatility and the market price of the stock derivatives, and the basic data of the bond derivatives include the basic asset price and the closing price of the bond. And, the basic data of the foreign derivatives is characterized in that it includes the basic asset price and the closing price of foreign assets.

When the stock derivative product is a future, the daily coefficient of change of the KOSPI 200 index or the KOSDAQ 150 index and the daily rate of change of the KOSPI 200 or KOSDAQ 150 items corresponding to the held spot are based on the past year. It is characterized by calculating.

When the stock derivative is an option, it is characterized in that the correlation coefficient is calculated based on the delta risk amount, gamma risk amount, and vega risk amount calculated according to the following equation (1).

[Equation 1]

Delta risk = basic asset price * number of contracts * multiplier * delta

Gamma risk = number of contracts*multiplier*0.5*(basic asset price *calculated fluctuation)^2*gamma

Vega risk = number of contracts*multiplier*0.25*basic asset volatility(%)*Vega

The bond derivative product is characterized in that it calculates the correlation coefficient based on the past year value of the daily change rate of the basic asset according to the basic asset price and the closing price of the bond and the daily change rate of the bond corresponding to the held spot.

The foreign-derived product is characterized by calculating the correlation coefficient based on the past year value of the daily change rate of the basic asset and the daily change rate of the foreign asset corresponding to the held spot according to the basic asset price and the overseas asset closing price.

When the correlation coefficient is equal to or greater than a predetermined threshold, the holdings are offset to correspond to the amount of the at least one derivative, but when the derivative is one or more bond derivatives, the value of the correlation coefficient is large. As such, it is characterized in that the holding spot is offset, and when a predetermined holding spot overlaps with a plurality of bond derivative products, a derivative having a high correlation coefficient is offset.

In order to achieve the above technical problem, it may include a computer-readable recording medium recording a program for executing a method for providing a service for real-time determination of a derivative transaction risk of a fund according to another embodiment. have.

The method and apparatus for providing a service for real-time judging the risk of trading derivatives of a fund in accordance with an embodiment can monitor the risk ratio of derivatives of the fund in real time to predict as much as possible the risk before the end of the exchange market and enable proactive action can do.

1 is a schematic diagram of a service system 100 that determines in real time the risk of trading derivatives of a fund according to an embodiment.
2 is a flow chart for explaining a service providing method for determining in real time the risk of trading derivatives of a fund according to an embodiment.
3 and 4 are exemplary views of a user screen that determines the risk of trading derivatives of a fund in real time.
5 is a schematic diagram of a device for determining in real time the risk of trading derivatives of a fund according to another embodiment.
6 is a flow diagram illustrating a method for determining in real time the risk of trading derivatives of a fund according to another embodiment.

The terminology used in the present exemplary embodiments has been selected from general terms that are currently widely used as possible while considering functions in the present exemplary embodiments, but this may vary depending on the intention or precedent of a person skilled in the art or the appearance of a new technology. . In addition, in certain cases, some terms are arbitrarily selected, and in this case, their meanings will be described in detail in the description of the corresponding embodiment. Therefore, the terms used in the present embodiments should be defined based on the meanings of the terms and the contents of the present embodiments, not simply the names of the terms.

In the description of the embodiments, when it is said that a part is connected to another part, this includes not only the case of being directly connected, but also the case of being electrically connected with another component in between. In addition, when a part includes a certain component, this means that other components may be further included instead of excluding other components unless otherwise specified. In addition, the term "... unit" described in the embodiments means a unit that processes at least one function or operation, which may be implemented in hardware or software, or a combination of hardware and software.

The terms “consisting of” or “comprising” as used in the embodiments should not be construed as including all of the various elements, or various steps described in the specification, and some or some of them. It should be construed that the steps may not be included, or may further include additional components or steps.

The description of the following embodiments should not be construed as limiting the scope of rights, and those that can be easily inferred by those skilled in the art should be interpreted as belonging to the scope of rights of the embodiments. Hereinafter, exemplary embodiments for illustrative purposes will be described in detail with reference to the accompanying drawings.

Derivatives are securities that bring new cash flows by using traditional financial products such as stocks and bonds as basic assets at a fixed price at a certain point in time to reduce the risk of loss due to market fluctuations such as exchange rates, interest rates, and stock prices. do. Basic assets can be general products other than financial products. Representative derivative products include forward trading, futures, options, and swaps. The main objectives of derivatives are the hedge function to reduce risk, the leverage function, and the ability to create new financial products that combine derivatives to create new financial products.

In an embodiment, the derivatives of the fund include derivatives related to stocks, derivatives related to bonds, and derivatives related to overseas assets. In addition, a plurality of assets constituting the fund may include stocks, stock-related derivatives, bonds, bond-related derivatives, foreign assets or derivatives related to foreign assets.

1 is a schematic diagram of a service system 100 that determines in real time the risk of trading derivatives of a fund according to an embodiment. According to an embodiment, the service system 100 for real-time determination of the risk of trading a derivative product of the fund receives and processes the transaction history of the derivative product and the transaction in real time in real time at the same time as the exchange starts, and calculates the risk ratio and ends the market. In the event that a loss has occurred before, it should be possible to deal with it in advance. Therefore, it is possible to check in advance or in the midst of the loss by calculating the risk ratio in real time when trading in-kind with derivatives in the fund in charge of the fund manager.

Referring to FIG. 1, the service system 100 for real-time determination of the transaction risk of derivative products of the fund includes an asset management server 110 and a derivative transaction risk determination server 120.

The asset management server 110 is a system operated by an asset manager, and is a system that allows a fund manager, a system operator, or a user to view, trade, manage, and store the assets of the fund. Here, although the asset management server 110 and the derivative transaction risk determination server 120 are illustrated separately, functions may be integrated into one server, and may be separately configured to determine derivative transaction risk. . In addition, the program provided by the derivatives trading risk determination server 120 may be executed in the asset management server 110 to realize the derivatives trading risk determination in real time.

Hereinafter, it will be mainly described that the service for determining the transaction risk of the derivatives of the fund in real time is performed by the derivatives transaction risk determination server 120.

Derivatives transaction risk determination server 120 receives and processes real-time transaction information of derivatives and transactions in real time at the same time as the exchange starts, and calculates the ratio of risks, so that it can be dealt with in the event of loss before the end of the market. Do it. Here, the ratio of the amount of risk may be preset by the user or the operator, and an alarm message may be output when the ratio of the amount of risk of the transaction of derivatives determined in real time reaches the preset amount of risk.

2 is a flow chart for explaining a service providing method for determining in real time the risk of trading derivatives of a fund according to an embodiment.

Referring to FIG. 2, in step 200, transaction details are received. In an embodiment, a real-time transaction history for assets constituting a fund is received through a trading system in a certain time unit. Here, the trading system is provided in the asset management server 110 and provides information on transaction details for each asset in each fund that the fund manager holds in real time to the derivatives transaction risk determination server 120. Although the trading system is described as being provided in the asset management server 110, it may be another external system.

In step 202, basic data is received. In the case of equity derivatives, the Kospi200 index, kosdaq150 index, and delta, gamma, vega, volatility, and derivatives quotes are automatically received from the exchange system. In the case of derivatives related to bonds, the bond-derived basic asset price and bond closing price are automatically received. In the case of foreign-related derivatives, the price of overseas derivatives and the closing price of foreign assets are automatically received. Here, delta, gamma, and vega are indicators of price sensitivity of options. The basic assets of bond-related derivatives include Treasury futures.

Delta is the rate of change of the option's price relative to the price of the underlying asset and is used as the most important indicator of option sensitivity. It indicates how much the option price will change when the price of the underlying asset changes by one unit. Delta can be interpreted in many ways. First of all, the absolute value of the option delta means the probability that the option will end in in-space. Therefore, the delta value of the equal price option is 0.5, and the delta value is closer to 1 for the in-the-money option and to 0 for the out-of-the-money option. Delta is also used as a hedge ratio because it represents the change in the option price relative to the price change of the object. Gamma is the delta's rate of change in relation to the price change of the underlying product, so it is also important how much the delta fluctuates with the price fluctuation of the target object, since delta is the most important option sensitivity. Gamma is used as an indicator of how the hedge ratio fluctuates according to the price fluctuation of the underlying asset. If the gamma value is large, the hedge ratio is greatly affected by the price fluctuation of the underlying asset. Vega is an indicator of changes in option prices in relation to changes in volatility of underlying assets. The greater the volatility of the underlying asset, the higher the value of the option. Vega has the highest value when it is an equal price option, and the value decreases as it goes to the in-the-money and external prices, which means that the equal-price option is most sensitive to volatility.

In an embodiment, the basic data of the stock-related derivatives described above may be received from an exchange system. In addition, basic data of bond-related derivatives may be received from an exchange system or an evaluator system. In addition, basic data of foreign asset-related derivatives can be received through an overseas asset information providing system, for example, a Bloomberg terminal.

In step 204, correlation coefficients for derivatives and spots are calculated.

Calculate the correlation coefficient for derivatives and spots in the funds you hold. The calculation of the correlation coefficient between stock-related derivatives and spot (stock) is as follows. When the derivatives are futures, the correlation coefficient is calculated based on the daily change rate of the underlying assets (KOSPI200 index, KOSDAQ150 index) and the daily change rate of the holdings (KOSPI200 item, KOSDAQ150 item).

If the derivative is an option, the delta risk amount (basic asset price * number of contracts * multiplier * delta), gamma risk (number of contracts * multiplier * [0.5 * [estimated fluctuation width]^2] * gamma), Vega risk amount ( Calculate the number of contracts * multiplier * [0.25 * basic asset volatility] * Vega).

The calculation of the correlation coefficient between bond-related derivatives and spot (bonds) calculates the correlation coefficient based on the past one year of the daily change rate of the underlying assets of the government bond futures and the daily change rate of the bonds held.

To calculate the correlation coefficient between foreign-related derivatives and overseas assets, the correlation coefficient is calculated based on the past year's rate of daily fluctuation rate of foreign-derived basic assets and daily fluctuation rate of stocks (overseas stocks).

In step 206, a derivative risk amount for each product is calculated and processed. In an embodiment, the risk valuation or risk amount is calculated through a transaction that offsets the risk of price fluctuations in a stock or a stock portfolio using equity-related derivatives, or a transaction that utilizes bond-related derivatives in the price fluctuation risk of a bond or bond portfolio. To calculate. In an embodiment, in the case of equity-related derivatives, the risk amount may be calculated by obtaining a correlation coefficient with the same underlying asset as the portfolio of stocks held by the fund and subtracting it by the correlation coefficient ratio. In the case of derivatives related to bonds, the key asset index and correlation coefficient of each holding item and bond-related derivatives are calculated, and the correlation coefficient is offset from the large correlation coefficient to calculate the amount of risk. In addition, if the derivative is one or more bond derivatives, the holdings are offset in the order of the highest correlation coefficient. In this case, when a specific spot is overlapped with a plurality of bond derivatives and exceeds a predetermined threshold, the correlation coefficient may be offset from the larger one. However, the amount to be offset, i.e., the amount of bonds subject to hedge, does not exceed the amount of derivatives held.

In an embodiment, the risk related to equity-related derivatives is offset by using the correlation coefficient to calculate the reduction ratio that can be offset, and the remaining amount is calculated as the risk. The risk amount of the derivatives-related derivatives is calculated as the final risk assessment amount after offsetting, starting with the largest correlation coefficient between the government bond futures and the spot (bond). The foreign-related derivatives risk amount is calculated by using the correlation coefficient to calculate the reduction ratio that can be offset, and the amount of the derivative is offset and the remaining amount is calculated as the risk amount.

In step 208, a risk ratio is calculated from a real-time estimated NAV (Net Asset Value, hereinafter referred to as NAV). In step 206, the derivatives of each product are summed, and the expected NAV is received and the risk ratio is calculated. In other words, the ratio of the amount of risk is calculated from the amount of risk related to stocks + the amount of risk related to bonds + the amount of risks related to overseas / expected NAV. Here, the estimated NAV can be calculated by the derivatives trading risk determination server 120 or the asset management server 110. The expected NAV can calculate the expected net asset value based on the same day's transaction details and quotes of the funds held. Net asset value excludes various expenses such as debt and remuneration from the total amount of assets held by the fund, and may include changes in the value of the assets held as well as the flow of funds flowed into and out of the fund. For example, the expected net asset value can be calculated by synthesizing the account accounts on the ledger that indicate the increase or decrease of each asset in the fund. The asset management server 110 may calculate the expected net asset value based on the updated ledger even before the conclusion of the transaction and the evaluation process is completed for each asset of the fund. Therefore, dividing the sum of the risks of derivatives by the expected NAV, the ratio of risks is calculated. Depending on the embodiment, it is possible to predict the limit of the risk assessment in the middle of the week and prevent and eliminate it before the violation of the law occurs.

3 and 4 are exemplary views of a user screen that determines the risk of trading derivatives of a fund in real time. As shown in FIG. 3, the risk amount 300 of the derivatives of the fund is shown on the user screen in real time in the middle of the week, and the ratio of the risk amount is shown. As illustrated in FIG. 4, it is calculated in the correlation coefficient 400 of the holding fund, and the residual risk amount 410 remaining after being offset by the spot in accordance with the correlation coefficient may be displayed.

5 is a schematic diagram of a device for determining in real time the risk of trading derivatives of a fund according to another embodiment.

Referring to FIG. 5, an apparatus 500 for real-time determining a risk of trading a derivative product of a fund includes a processor 510, a memory 520, and a communication unit 530. In the apparatus 500 for real-time determining the risk of trading derivatives of the fund shown in FIG. 5, only components related to the present exemplary embodiments are illustrated. Accordingly, it will be apparent to those skilled in the art that other general-purpose components may be further included in addition to the components illustrated in FIG. 5.

The processor 510 receives transaction details traded through a predetermined trading system for each asset of the fund, and through an external information providing system, at least one of derivatives of equity derivatives, bond derivatives, and foreign derivatives of the fund Receive basic data and calculate the correlation coefficient between the fund's holdings based on transaction details and the basic data of at least one derivative. When the correlation coefficient is greater than or equal to a predetermined threshold, the processor 510 offsets the held spots in the order in which the value of the correlation coefficient is large to correspond to the amount of at least one derivative.

Specifically, when the derivative product is one or more bond derivatives, the holdings are offset in the order of highest correlation coefficient. In this case, when a specific spot is overlapped with a plurality of bond derivatives and exceeds a predetermined threshold, the correlation coefficient may be offset from the larger one. However, the amount to be offset, i.e., the amount of bonds subject to hedge, does not exceed the amount of derivatives held.

The processor 510 calculates the risk amount for each derivative of the fund using the number of relations, and the derivative product of the fund based on the estimated net asset value of the fund based on the sum of the calculated risk amount for each derivative and the transaction history Determine the percentage of risk.

In addition, the processor 510 may set a reference risk ratio in advance and output an alarm message when the determined risk ratio exceeds the preset reference risk ratio.

The processor 510 may be implemented as a central processing unit (CPU), graphics processing unit (GPU), application processor (AP), etc. provided in the apparatus 500 for real-time determination of the risk of trading derivatives of the fund. It is not limited.

The memory 520 may store data processed and data to be processed by the apparatus 500 that determines the risk of the derivative transaction of the fund in real time. For example, the memory 520 is a transaction history, payment processing history that is concluded intraday for each asset of the fund. Data including the disclosure processing details, the setting or termination processing details, the market price of the day, the closing price of the day, and the standard price of the day may be stored.

The memory 520 includes random access memory (RAM) such as dynamic random access memory (DRAM), static random access memory (SRAM), read-only memory (ROM), electrically erasable programmable read-only memory (EEPROM), and CD- ROM, Blu-ray or other optical disk storage, hard disk drive (HDD), solid state drive (SSD), or flash memory, but is not limited thereto.

At least a part of an apparatus (eg, modules or functions thereof) or a method (eg, operations) according to various embodiments is computer-readable storage media, eg, in the form of a program module It can be implemented as a command stored in. When the instruction is executed by a processor (for example, the processor 710), the one or more processors may perform a function corresponding to the instruction. The computer-readable storage medium may be, for example, the memory 520.

The communication unit 530 communicates with a trading system, a fund accounting system, an exchange system, an evaluator system, an overseas asset information providing system, and the like, and acquires transaction details, basic data, market price information, and expected NAV in real time. In addition, information necessary for the asset management server 110 shown in FIG. 1 may be provided.

6 is a flow diagram illustrating a method for determining in real time the risk of trading derivatives of a fund according to another embodiment.

Referring to FIG. 6, in step 600, transaction details traded through a predetermined trading system for each asset of the fund are received.

In step 602, basic data of at least one of derivatives of equity derivatives, bond derivatives, and foreign derivatives of the fund is received through an external information providing system.

In step 604, a correlation coefficient of the fund's holdings based on the transaction history and the basic data of at least one derivative is calculated.

In step 606, a correlation coefficient is used to calculate the amount of risk for each derivative of the fund.

In step 608, the ratio of the risk of derivatives of the fund is determined based on the sum of the risks of each derivative and the estimated net asset value of the fund based on the transaction details.

Through the method of real-time judging the derivative transaction risk of the fund according to the embodiment, these parts are received and processed in real time at the same time as the exchange starts, and the transaction details of the derivatives and the transaction in real time are calculated in real time. If loss occurs before the end of the chapter, it is possible to take precautions.

As described above, although the present invention has been described by limited embodiments and drawings, the present invention is not limited to the above embodiments, and those skilled in the art to which the present invention pertains have various modifications and variations from these descriptions. It is possible. Therefore, the scope of the present invention should not be limited to the embodiments, and should be determined not only by the claims to be described later, but also by the claims and equivalents.

One embodiment of the present invention may also be implemented in the form of a recording medium including instructions executable by a computer, such as program modules, being executed by a computer. Computer readable media can be any available media that can be accessed by a computer, and includes both volatile and nonvolatile media, removable and non-removable media. In addition, computer-readable media may include both computer storage media and communication media. Computer storage media includes both volatile and nonvolatile, removable and non-removable media implemented in any method or technology for storage of information such as computer readable instructions, data structures, program modules or other data. Communication media typically includes computer readable instructions, data structures, program modules, or other data in a modulated data signal such as a carrier wave, or other transport mechanism, and includes any information delivery media.

The above description of the present invention is for illustration only, and those skilled in the art to which the present invention pertains can understand that it can be easily modified to other specific forms without changing the technical spirit or essential features of the present invention. . Therefore, it should be understood that the above-described embodiments are illustrative in all respects and not restrictive. For example, each component described as a single type may be implemented in a distributed manner, and similarly, components described as distributed may be implemented in a combined form.

The scope of the present invention is indicated by the following claims rather than the above detailed description, and it should be interpreted that all changes or modified forms derived from the meaning and scope of the claims and equivalent concepts thereof are included in the scope of the present invention. do.

Claims (17)

As a method of providing a service for real-time determination of the risk of trading derivatives of a fund in a processor,
Receiving, by the processor, transaction details traded through a predetermined trading system for each asset of the fund;
Receiving, at the processor, basic data of at least one of derivatives of equity derivatives, bond derivatives, and foreign derivatives of the fund through an external information providing system;
Calculating, by the processor, a correlation coefficient between the spot holdings of the fund and the basic data of the at least one derivative product based on the transaction details;
Calculating, by the processor, a risk amount for each derivative product of the fund using the calculated correlation coefficient; And
Determining, by the processor, a ratio of the derivative risk amount of the fund based on the calculated sum of the risk amount of each derivative product and the estimated net asset value of the fund based on the transaction details,
When the at least one derivative includes a stock derivative, the basic data of the stock derivative include the KOSPI 200 index, the KOSDAQ 150 index, delta, gamma, vega, volatility, and quotes of the stock derivative,
If the above-mentioned derivatives are futures,
The correlation coefficient is calculated based on the daily variation rate of the KOSPI 200 index or the KOSDAQ 150 index and the daily variation rate of the KOSPI 200 or KOSDAQ 150 item corresponding to the held spot, based on the past one year value. How to provide real-time judging service for derivatives trading risk of funds. According to claim 1,
Further comprising the step of presetting the reference risk ratio,
A method of providing a service for real-time determination of the transaction risk of derivatives of a fund, characterized in that an alarm message is output when the determined risk ratio exceeds the preset reference risk ratio. delete delete According to claim 1,
If the above-mentioned derivatives are optional,
Method for providing a service for real-time determination of the derivatives trading risk of the fund, characterized in that the correlation coefficient is calculated based on the delta risk, gamma risk and vega risk calculated according to the following equation (1).
[Equation 1]
Delta risk = basic asset price * number of contracts * multiplier * delta
Gamma risk = number of contracts*multiplier*0.5*(basic asset price *calculated fluctuation)^2*gamma
Vega risk = number of contracts*multiplier*0.25*basic asset volatility(%)*Vega As a method of providing a service that judges the risk of trading derivatives of funds in real time,
Receiving, by the processor, transaction details traded through a predetermined trading system for each asset of the fund;
Receiving, at the processor, basic data of at least one of derivatives of equity derivatives, bond derivatives, and foreign derivatives of the fund through an external information providing system;
Calculating, by the processor, a correlation coefficient between the spot holdings of the fund and the basic data of the at least one derivative product based on the transaction details;
Calculating, by the processor, a risk amount for each derivative product of the fund using the calculated correlation coefficient; And
Determining, by the processor, a ratio of the derivative risk amount of the fund based on the calculated sum of the risk amount of each derivative product and the estimated net asset value of the fund based on the transaction details,
When the at least one derivative product includes a bond derivative, the basic data of the bond derivative include the basic asset price and the closing price of the bond,
The bond derivative product of the fund characterized in that for calculating the correlation coefficient based on the past one year value of the daily change rate of the basic asset according to the basic asset price and the closing price of the bond and the daily change rate of the bond corresponding to the held spot A method of providing a service that judges the risk of trading derivatives in real time. As a method of providing a service that judges the risk of trading derivatives of funds in real time,
Receiving, by the processor, transaction details traded through a predetermined trading system for each asset of the fund;
Receiving, at the processor, basic data of at least one of derivatives of equity derivatives, bond derivatives, and foreign derivatives of the fund through an external information providing system;
Calculating, by the processor, a correlation coefficient between the spot holdings of the fund and the basic data of the at least one derivative product based on the transaction details;
Calculating, by the processor, a risk amount for each derivative product of the fund using the calculated correlation coefficient; And
Determining, by the processor, a ratio of the derivative risk amount of the fund based on the calculated sum of the risk amount of each derivative product and the estimated net asset value of the fund based on the transaction details,
When the at least one derivative product includes an overseas derivative product, the basic data of the foreign derivative product includes a basic asset price and an overseas asset closing price,
The foreign-derived product is a fund characterized by calculating the correlation coefficient based on the past year value of the daily change rate of the basic asset and the daily change rate of the foreign asset corresponding to the held spot according to the basic asset price and the overseas asset closing price. How to provide a service that determines the risk of trading derivatives in real time. As a method of providing a service that judges the risk of trading derivatives of funds in real time,
Receiving, by the processor, transaction details traded through a predetermined trading system for each asset of the fund;
Receiving, at the processor, basic data of at least one of derivatives of equity derivatives, bond derivatives, and foreign derivatives of the fund through an external information providing system;
Calculating, by the processor, a correlation coefficient between the spot holdings of the fund and the basic data of the at least one derivative product based on the transaction details;
Calculating, by the processor, a risk amount for each derivative product of the fund using the calculated correlation coefficient; And
Determining, by the processor, a ratio of the derivative risk amount of the fund based on the calculated sum of the risk amount of each derivative product and the estimated net asset value of the fund based on the transaction details,
When the correlation coefficient is greater than or equal to a predetermined threshold, offset the held spot to correspond to the amount of the at least one derivative,
If the derivatives are one or more bond derivatives, the correlations are offset by the order in which the value of the correlation coefficient is large, and the correlation coefficients if the predetermined holdings overlap with a plurality of bond derivatives and exceed a predetermined threshold A method of providing a service to determine in real time the risk of trading derivatives of a fund, characterized by offsetting large derivatives. A recording medium recording a program for executing on a computer a method for providing a service for determining in real time the risk of trading derivatives of a fund according to any one of claims 1 to 2 and 5 to 8. As a device that provides a service for real-time determination of the risk of trading derivatives of the fund,
Memory;
Communication department; And
Including a processor,
The processor,
For each asset of the fund, receive transaction details that are traded through a predetermined trading system,
Receiving basic data of at least one derivative of the equity derivatives, bond derivatives and foreign derivatives of the fund through an external information providing system,
Calculate a correlation coefficient between the spot holdings of the fund and the basic data of the at least one derivative, based on the transaction details,
Using the calculated correlation coefficient, the risk amount of each derivative of the fund is calculated.
Determining the risk ratio of the derivatives of the fund based on the calculated sum of the risks for each derivative and the net asset value of the fund based on the transaction details,
When the at least one derivative includes a stock derivative, the basic data of the stock derivative include the KOSPI 200 index, the KOSDAQ 150 index, delta, gamma, vega, volatility, and quotes of the stock derivative,
If the above-mentioned derivatives are futures,
The correlation coefficient is calculated based on the daily variation rate of the KOSPI 200 index or the KOSDAQ 150 index and the daily variation rate of the KOSPI 200 or KOSDAQ 150 item corresponding to the held spot, based on the past one year value. A device that provides a service that determines in real time the risk of trading derivatives of a fund. The method of claim 10,
The processor,
Set the standard risk ratio in advance,
Device for providing a service for real-time determination of the risk of trading derivatives of the fund, characterized in that when the determined risk ratio exceeds the preset reference risk ratio. delete delete The method of claim 10,
If the above-mentioned derivatives are optional,
Apparatus for providing a service to determine in real time the derivatives trading risk of the fund, characterized in that the calculation of the correlation coefficient based on the delta risk, gamma risk and Vega risk calculated according to the following equation (1).
[Equation 1]
Delta risk = basic asset price * number of contracts * multiplier * delta
Gamma risk = number of contracts*multiplier*0.5*(basic asset price *calculated fluctuation)^2*gamma
Vega risk = number of contracts*multiplier*0.25*basic asset volatility(%)*Vega As a device that provides a service for real-time determination of the risk of trading derivatives of the fund,
Memory;
Communication department; And
Including a processor,
The processor,
For each asset of the fund, receive transaction details that are traded through a predetermined trading system,
Receiving basic data of at least one derivative of the equity derivatives, bond derivatives and foreign derivatives of the fund through an external information providing system,
Calculate a correlation coefficient between the spot holdings of the fund and the basic data of the at least one derivative, based on the transaction details,
Using the calculated correlation coefficient, the risk amount of each derivative of the fund is calculated.
Determining the risk ratio of the derivatives of the fund based on the calculated sum of the risks for each derivative and the net asset value of the fund based on the transaction details,
When the at least one derivative includes a bond derivative, the basic data of the bond derivative include the basic asset price and the closing price of the bond,
The bond derivative product of the fund characterized in that for calculating the correlation coefficient based on the past one year value of the daily change rate of the basic asset according to the basic asset price and the closing price of the bond and the daily change rate of the bond corresponding to the held spot A device that provides a service that judges the risk of trading derivatives in real time. As a device that provides a service for real-time determination of the risk of trading derivatives of the fund,
Memory;
Communication department; And
Including a processor,
The processor,
For each asset of the fund, receive transaction details that are traded through a predetermined trading system,
Receiving basic data of at least one of derivatives of equity derivatives, bond derivatives and foreign derivatives of the fund through an external information providing system,
Calculates a correlation coefficient of the spot data of the fund and the basic data of the at least one derivative, based on the transaction details,
Using the calculated correlation coefficient, the risk amount of each derivative of the fund is calculated.
Determine the ratio of the derivatives risk of the fund based on the calculated sum of the risks of each derivative and the net asset value of the fund based on the transaction details,
When the at least one derivative product includes an overseas derivative product, the basic data of the foreign derivative product includes a basic asset price and an overseas asset closing price,
The foreign-derived product is a fund characterized by calculating the correlation coefficient based on the past one year based on the daily change rate of the basic asset and the daily change rate of the foreign asset corresponding to the held spot according to the basic asset price and the overseas asset closing price. A device that provides a service that determines in real time the risk of trading derivatives. As a device that provides a service for real-time determination of the risk of trading derivatives of the fund,
Memory;
Communication department; And
Including a processor,
The processor,
For each asset of the fund, receive transaction details that are traded through a predetermined trading system,
Receiving basic data of at least one derivative of the equity derivatives, bond derivatives and foreign derivatives of the fund through an external information providing system,
Calculate a correlation coefficient between the spot holdings of the fund and the basic data of the at least one derivative, based on the transaction details,
Using the calculated correlation coefficient, the risk amount of each derivative of the fund is calculated.
Determining the risk ratio of the derivatives of the fund based on the calculated sum of the risks for each derivative and the net asset value of the fund based on the transaction details,
When the correlation coefficient is greater than or equal to a predetermined threshold, offset the held spot to correspond to the amount of the at least one derivative,
When the derivatives are one or more bond derivatives, offset the holdings in the order of the largest correlation coefficient value, and if the predetermined holdings overlap with a plurality of bond derivatives, the correlation coefficient Apparatus for providing a service to determine in real time the derivatives trading risk of the fund, characterized by offsetting the large derivatives.

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