%0 Conference Proceedings
%T OntoREA© Accounting and Finance Model: Hedge Portfolio Representation of Derivatives
%+ Institute of Management Science [Wien]
%A Fischer-Pauzenberger, Christian
%A Schwaiger, Walter
%Z Part 7: Teaching Challenges
%< avec comité de lecture
%( Lecture Notes in Business Information Processing
%B 11th IFIP Working Conference on The Practice of Enterprise Modeling (PoEM)
%C Vienna, Austria
%Y Robert Andrei Buchmann
%Y Dimitris Karagiannis
%Y Marite Kirikova
%I Springer International Publishing
%3 The Practice of Enterprise Modeling
%V LNBIP-335
%P 372-382
%8 2018-10-31
%D 2018
%R 10.1007/978-3-030-02302-7_24
%K OntoREA© Accounting and Finance model
%K Design science research methodology DSRM
%K Model driven development MDD
%K Conceptual modeling
%K Derivative instruments
%K Dynamic hedge portfolio
%Z Computer Science [cs]
%Z Humanities and Social Sciences/Library and information sciencesConference papers
%X OntoREA© is a specification of the Accounting and Finance domain in the OntoUML language [1]. In a previous article [2] the authors use a forward contract financial derivative instrument to demonstrate the validity of the OntoREA© model within the design science research methodology (DSRM) [3]. A forward contract does not change over time and therefore can be modelled as static hedge portfolio composition. However, it is of interest if the OntoREA© model can also hold true for dynamic hedge portfolio compositions, as induced by option contract financial derivative instruments. This article investigates on that and delivers proof that the OntoREA© model is suitable for option contracts as well. Through adequately refining the platform specific database model (PSM) the policy’s dynamic nature can be demonstrated. Moreover, including a Plan/Do/Check/Act (PDCA) process model for the specification of the option contract replication also demonstrates the information processing in the REA accounting infrastructure. The proposed approach is implemented into an R/Shiny software prototype where the 3-tier-architecture is used to integrate the database and the PDCA process model at the R/Shiny implementation specific model (ISM) level. The presented hedge portfolio representation of derivatives can be useful for business analysts in the finance and accounting domain as well as for teaching financial derivative instruments.
%G English
%Z TC 8
%Z WG 8.1
%2 https://inria.hal.science/hal-02156458/document
%2 https://inria.hal.science/hal-02156458/file/474841_1_En_24_Chapter.pdf
%L hal-02156458
%U https://inria.hal.science/hal-02156458
%~ SHS
%~ IFIP
%~ IFIP-TC
%~ IFIP-LNBIP
%~ IFIP-WG
%~ IFIP-TC8
%~ IFIP-WG8-1
%~ IFIP-POEM
%~ IFIP-LNBIP-335