Quant ServicesRegulatory Compliance & Approval

Regulatory Compliance & Approval

Supporting clients through regulatory approval and review

Combine the best of our risk analytics products with expert consultancy for an all-in-one compliance package

Regulatory complexity has been growing over the last 30 years, in particular as a response to the financial crisis in 2008/2009. For smooth business operations, it’s vital that firms have organizational structures, processes and models in place that withstand regulatory scrutiny. It is equally important from an economic perspective, as fallback solutions can be costly.

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Regulatory Compliance & Approval

Setup & Information

What is ORE?

In this video, we give an overview of what is Open-source Risk Engine (ORE):
- How it was created (i.e. its history....Watch Video >

How to install ORE?

In this video, we explain how to install and test Open source Risk Engine (ORE) in Windows. This is the first video that anyone should watch when wanting to install ORE. This involves the download of ORE repository....Watch Video >

Files Configuration

Trades XML Files

In this video, we walk you through the ORE XML trade detail specification, which serves as the primary input into ORE’s pricing and risk calculations. In the context of ORE, these XML capture the individual trade economics for any type of OTC derivatives instrument.....Watch Video >

How to change the reporting currency?

In this video we explain how to change the reporting currency (i.e. the currency in which the trades are collateralized) when pricing a trade. While this seems trivial, it becomes quite complex when .....Watch Video >

General Configuration & Master File

In this video, we explain the general setup of ORE and in particular, how the master file (usually called 'ore.xml') contains all information regarding the other input files. It is recommended to watch this video when starting to learn.....Watch Video >

Trades & Analytics

Interest Rate Swap

In this video, we explain how to setup ORE to price an interest rate swap. In particular, we describe the following inputs files:- Master (or ore.xml)....Watch Video >

Equity Option with Implied Volatility Surface

In this video, we explain how to setup ORE to price an equity option with implied volatility. This is good video to watch for beginners as it goes a bit more in detail regarding the connection between.....Watch Video >

Technical Finance

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First bit of video description....Watch Video >

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First bit of video description....Watch Video >

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Regulatory Compliance & Approval Case Studies

TRIM Audit support for EU-Headquartered International Commercial Bank

Engagement Goal:

European Central Bank (ECB) Targeted Review of Internal Models (TRIM) audit preparation: Model validation for Counterparty Credit Models used for Capital under the Basel III Internal Model Method.

Project Description:

Quaternion Quant Services was retained by one of the first banks to undergo the ECB’s TRIM audit to provide comprehensive benchmarking, validation gap analysis, bottom-up review and updates to model documentation. The scope covered the Internal Model Method (IMM) models used for counterparty credit risk and included all asset classes. The result for our client was a successful completion of the TRIM audit.

Tier 1 Global Investment Bank - Initial Margin Model Validation

Engagement Goal:

Model Validation of Standardized Initial Margin Model (SIMM) for Federal Reserve and PRA submissions.

Project Description:

Quaternion Quant Services was retained to provide independent quantitative model validation and benchmarking to support a model approval submission for the SIMM model for both Federal Reserve and PRA submission. The work was documented to SR 11-7 standard and the ultimate regulatory submission was successful.

Counterparty Credit model development – Swiss Based International Tier 1 Bank

Engagement Goal:

Renewal and re-approval of Counterparty Credit Models to be used for regulatory capital under the Basel III Internal Model Method and to be used in multiple regulatory regimes.

Project Description:

Quaternion Quant Services was engaged as the lead consulting firm in a long term program to renew and seek approval for a modern, post-crisis suite of CCR IMM models, cross asset class. The resulting models were submitted and gained regulatory approval in multiple EU and non-EU regulatory regimes. The overall program of work involved research, development (including prototyping), documentation and submission assistance for a comprehensive suite of models. The work was done to the SR 11-7 standard mandated by the Federal Reserve bank. The ultimate regulatory submissions have been successful in multiple regulatory regimes.

Risks Not In Model Engine (RNIME) TRIM findings remediation - EU Headquartered International Commercial Bank

Engagement Goal:

Development of a methodology and implementation of algorithms supplementing the existing internal Value-at-Risk (VaR) engine that would provide estimates to the Risks Not In the Model Engine (RNIMEs) of the clients VaR model.

Project Description:

In the context of a TRIM audit, the internal VaR model of the client had received numerous findings with respect to the Risks Not In the Model Engine (RNIME). During the engagement, the Quaternion Quant Services team developed a quantification methodology for all RNIMEs that had been identified and implemented quantification algorithms to estimate the impact on the overall VaR of these risks. A total of 70 identified RNIMEs risks were quantified. Affected asset classes were interest rates, commodity, equities, FX and credit.

Introduction to the Open Source Risk Project

Meet our Quant Services team and learn about their expertise