Risk Model Development & Risk Analytics
We have worked with a host of financial institutions to transform their risk models, helping them to save large amounts in Regulatory Capital charges and assisting them with compliance of complex regulatory requirements.
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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 >
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 >
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 >
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 >
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 >
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 >
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 >
Our experience and unique skill set bring a new approach to your internal risk models.
We offer a broad range of services, including the development of Internal Models Method (IMM) for Counterparty Credit Risk (CCR). Our projects include impact assessment of regulatory requirements on capital as well as upgrading our client's proprietary libraries to adapt to market changes.
Some of the projects that we have undertaken include:
Engagement Goal:
A bank hired Quaternion Quant Services to help with the renewal and re-approval of Counterparty Credit Models that were to be used for regulatory capital under the Basel III Internal Model Method. They also requested that this be extended across multiple regulatory regimes.
Project Description:
Quaternion was engaged as the lead consulting firm in a long-term program to renew and seek approval for a modern, cross asset class, post-crisis suite of CCR IMM models. The resulting models have been 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 regulatory submissions have been successful in multiple regulatory regimes.
Engagement Goal:
A bank required the development and implementation of IBOR transition upgrades to a productive risk library.
Project Description:
Quaternion Quant Services developed and implemented upgrades to the productive risk library of the bank in order to ensure readiness for IBOR transition. This project focused on necessary conceptual changes in the core rates simulation engine, upgrades in the trade representation language replacing IBOR with the new benchmarks as well as the adaption of the risk driver extractor to extract the new benchmarks and their use as explanatory variables in the American Monte Carlo engine. The team also successfully upgraded and expanded the calculation of interest rate shocks to the portfolio. Quaternion’s role included conceptual work, implementation, testing and documentation.
Engagement Goal:
A bank required the implementation of an engine capable of computing IFRS P&L and risk numbers for the entire balance sheet of the bank.
Project Description:
Quaternion was engaged to implement a pricing and risk engine that could compute key numbers for the reporting and risk management of IFRS numbers for the finance and front office departments of the German Bank. We introduced the Open Risk Engine (ORE) covering the entire spectrum of financial instruments of the bank (deposits, loans, money market, bond and derivative trades) to compute current IFRS margins for all positions and risk numbers that allowed the bank to manage its overall IFRS income.
Watch this short video to learn more about the Open Source Risk Project and Open Source Risk Engine (ORE). Roland Lichters, formerly Co-Founder of Quaternion and now Co-Head Quantitative Services at Acadia walks you through ORE's history, project and analytics scope and demonstrates how to get started quickly with ORE.
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