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.
Risk Model Development & Risk Analytics Case Studies
Counterparty Credit model development - Swiss-based Tier 1 Bank
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.
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.
IBOR replacement at Tier 1 Global Investment Bank
A bank required the development and implementation of IBOR transition upgrades to a productive risk library.
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.
Market Risk and IFRS reporting support for a German Bank
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.
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.