Setup & Information
What is ORE?
In this video, we give an overview
of what is Open-source Risk Engine (ORE):
How to install ORE?
In this video, we explain how to
install and test Open source Risk Engine
Trades XML Files
In this video, we walk you through
the ORE XML trade detail specification
How to change the reporting currency?
In this video we explain how to change
the reporting currency when pricing a trade
General Configuration & Master File
In this video, we explain the general setup
of ORE , how the master file contains
all information regarding the other input files
Trades & Analytics
Interest Rate Swap
In this video, we explain how to setup
ORE to price an interest rate swap.
Equity Option with Implied Volatility Surface
In this video, we explain how to setup ORE
to price an equity option with implied volatility.
Regulatory Compliance & Approval Case Studies
TRIM Audit support for EU-Headquartered International Commercial Bank
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.
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
Model Validation of Standardized Initial Margin Model (SIMM) for Federal Reserve and PRA submissions.
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
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.
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
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.
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.