HAL will be down for maintenance from Friday, June 10 at 4pm through Monday, June 13 at 9am. More information
Skip to Main content Skip to Navigation
Conference papers

OntoREA© Accounting and Finance Model: Hedge Portfolio Representation of Derivatives

Abstract : 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.
Complete list of metadata

Cited literature [7 references]  Display  Hide  Download

Contributor : Hal Ifip Connect in order to contact the contributor
Submitted on : Friday, June 14, 2019 - 1:48:20 PM
Last modification on : Wednesday, November 3, 2021 - 4:18:25 AM


Files produced by the author(s)


Distributed under a Creative Commons Attribution 4.0 International License



Christian Fischer-Pauzenberger, Walter Schwaiger. OntoREA© Accounting and Finance Model: Hedge Portfolio Representation of Derivatives. 11th IFIP Working Conference on The Practice of Enterprise Modeling (PoEM), Oct 2018, Vienna, Austria. pp.372-382, ⟨10.1007/978-3-030-02302-7_24⟩. ⟨hal-02156458⟩



Record views


Files downloads