Releases

Version 0.4 of the Concentration Library adds geographic / industrial concentration functionality

Version 0.4 of the Concentration Library adds geographic / industrial concentration functionality

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Release of version 0.4 of the Concentration Library adds Geographic / Industrial concentration indexes Further building out the OpenCPM set of tools, we release version 0.4 of the Concentration Library, a python library for the computation of various concentration, diversification and inequality indices. The below list provides documentation URL’s for each one of the implemented classic indexes (the Hoover index is a new addition in this release) Atkinson Index Hoover Index Concentration Ratio Berger-Parker Index Herfindahl-Hirschman Index Hannah-Kay Index Gini Index Theil Index Shannon Index Generalized Entropy Index Kolm Index An important new direction that appears first in this release is the introduction of indexes that measure geographical and industrial concentration.
NACE Economic Activity Pictograms

NACE Economic Activity Pictograms

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Representing economic activity using pictograms Visualization can produce significant new insights when applied to quantitative data. It is currently undergoing a renaissance that mirrors other developments in computing and data science. Sophisticated open source libraries such as d3.js or matplotlib, to name but a couple, are enabling an ever wider range of users to distill valuable information from the avalanche of data being produced. Yet when it comes to visualizing data that relate to abstract concepts it can be quite difficult to find an appropriate grammar to express the quantitative context.
Version 0.2 of the Open Risk API incorporates the standardized EBA portfolio data templates

Version 0.2 of the Open Risk API incorporates the standardized EBA portfolio data templates

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Extending the Open Risk API to include the EBA Portfolio Data Templates The Open Risk API provides a mechanism to integrate arbitrary collections of risk data and risk modelling resources in the context of assessing and managing financial risk. It is based on two key technologies of the modern Web, RESTful architectures and Semantic Data. OpenNPL, the credit portfolio management platfrom we launched recently fully integrates the latest versions of the Open Risk API.
Credit Portfolio Management in the IFRS 9 / CECL and Stress Testing Era

Credit Portfolio Management in the IFRS 9 / CECL and Stress Testing Era

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Credit Portfolio Management in the IFRS 9 / CECL and Stress Testing Era The post-crisis world presents portfolio managers with the significant challenge to asimilate in day-to-day management the variety of conceptual frameworks now simultaneously applicable in the assessment of portfolio credit risk: The first major strand is the widespread application of regulatory stress testing methodologies in the estimation of regulatory risk capital requirements The second major strand is the introduction of new accounting standards (IFRS 9 / CECL) for the measurement and disclosure of expected credit losses While both Regulatory Stress Testing and IFRS 9 / CECL accounting require investment in analytic capabilities and provide unique new insights, both are aimed at satisfying evolving prudential or investor disclosure requirements.
A Risk Agnostic Approach to European Safe Bonds (ESBies) Tranching

A Risk Agnostic Approach to European Safe Bonds (ESBies) Tranching

Reading Time: 7 min.
What are European Safe Bonds? While the creation of the eurozone was a landmark of the European integration process, the financial crisis highlighted that the eurozone remains an incomplete design which can lead to unpredictable and adverse situations in the event of a (the) next major crisis. One of the key such incompleteness features of the current eurozone architecture is that it does not have a truly risk-free (safe) euro debt instrument: one that continues being serviced (avoids a default event) at virtually any point in time and state of the world, no matter how severe.
Release of version 0.3 of the Concentration Library

Release of version 0.3 of the Concentration Library

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Release of version 0.3 of the ConcentrationMetrics Library Further building out the OpenCPM set of tools, we release version 0.3 of the ConcentrationMetrics Library. This python library for the computation of various concentration, diversification and inequality indices. The below list provides documentation URL’s for each one of the implemented indexes Atkinson Index Concentration Ratio Berger-Parker Index Herfindahl-Hirschman Index Hannah-Kay Index Gini Index Theil Index Shannon Index Generalized Entropy Index Kolm Index The image illustrates a simple use of the library where the HHI and Gini indexes are computed and compared for a range of randomly generated portfolio exposures.
OpenNPL Database

OpenNPL Database

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Motivation for Building an open source database based on EBA’s Standardized NPL Templates In an insightful recent piece, “Overcoming non-performing loan market failures with transaction platforms”, Fell et al. dug deeply into the market failures that help perpetuate the Non-performing loan (NPL) problem. They highlight, in particular, information asymmetries and the attendant costs of valuing NPL portfolios as key obstacles. In the same wavelength, the European Banking Authority published standardized NPL data templates as a step towards reducing the obstacles that prevent the reduction of NPL’s.
Transition Matrix Library First Release

Transition Matrix Library First Release

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Open Risk released version 0.1 of the Transition Matrix Library Motivation State transition phenomena where a system exhibits stochastic (random) migration between well-defined discrete states (see picture below for an illustration) are very common in a variety of fields. Depending on the precise specification and modelling assumptions they may go under the name of multi-state models, Markov chain models or state-space models. In financial applications a prominent example of phenomena that can be modelled using state transitions are credit rating migrations of pools of borrowers.
Loan Level Templates Using Python

Loan Level Templates Using Python

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Loan Level Templates Using Python In this Open Risk Academy course we figure step by step how to use python to work with Loan Level Templates, using the ECB SME template as an example. Overview of the loan level template Manipulating spreadsheets with Python The Python Dictionary Organization of Portfolio Data Generating Test Portfolios Get an Open Risk Academy account and get started with the course here This blog has been verified by Rise: Rcf8d5e45f6964ba5d03bda4020a97dda
RegNews Upgrade and Dashboard Integration

RegNews Upgrade and Dashboard Integration

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RegNews Upgrade and Dashboard Integration The Financial Regulatory News app (RegNews in short) is now integrated with the Open Risk Dashboard. The latest release adds several new feeds and allows filtering of news items by freshness (last day, last week, last two weeks) and by world-region (Supra-national, Americas, Europe and Middle East and Asia/Pacific). As always feedback on the features and usability of the RegNews app are welcome (simply use the button!
How much digital bank can we fit in a 50 euro bill?

How much digital bank can we fit in a 50 euro bill?

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How much digital bank can we fit in a 50 euro bill? Much has been said about the impact of Big Data and high-end GPU computing on the provision of digital financial services. At Open Risk we wanted to explore the boundary of what is possible at the diametrically opposite end of the cost spectrum: What is the_absolutely minimum_cost for providing digital financial services? . In this post we begin the journey of finding out the answer to that question and it promises to be fascinating!
StatsNews: Aggregating Economic Open Data news

StatsNews: Aggregating Economic Open Data news

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StatsNews: Aggregating Economic Open Data news StatsNews Version 1.3 of the RegNews Aggregator includes a separate stream of economic opendata news releases. Regnews is a web app developed by Open Risk to assist with keeping abreast with diverse financial regulatory news releases and publications. The app data are directly derived from the published regulatory RSS sheets (NB some are not conforming to RSS standards). If in doubt please refer to the original feeds (links provided).
Fintech Risk Events

Fintech Risk Events

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Fintech Risk Events Fintech Risk Events is an open catalog of observed and publicized operational failures of fintech business models. The catalog aims to document, in due course, such events reasonably accurately, to allow risk managers understand the (potentially new) vulnerabilities of new financial services models. Scope The scope of the operational risk database is Fintech companies. By that we mean newly established financial services providers that operate exclusively via new (digital) platforms and are (mostly) unregulated.
Regnews: Financial Regulatory News Aggregation Version 1.2

Regnews: Financial Regulatory News Aggregation Version 1.2

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Regnews: Financial Regulatory News Aggregation Version 1.2 The #RegNews Aggregator is a web app developed by Open Riskto assist with keeping abreast with diverse financial regulatory news releases and publications. The app data are directly derived from the published regulatory RSS sheets (NB some are not conforming to RSS standards). If in doubt please refer to the original feeds (links provided). Copyright of the publications is with the respective authoring institutions.
Correlation Radar added to the Dashboard

Correlation Radar added to the Dashboard

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Correlation Radar added to the Dashboard About the Correlation Radar The EU Risk Dashboard is a web app developed by Open Risk to assist with the exploration and understanding of the large number of economic indicators published by the ECB in its Statistical Data Warehouse. The app data are derived from the timeseries available in the Warehouse. Most readings in the currently selected series are monthly or quarterly and are updated when those become available at the Warehouse.
Unbundling the Banks: A How To Guide

Unbundling the Banks: A How To Guide

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Unbundling the Banks: A How-To Guide Talk of unbundling the banks is all the rage these days (if we believe the chatter coming from fintech startups). Yet upon closer inspection one gets the feeling that these optimistic people might not necessarily know exactly what they are trying to unbundle, the true complexity of a medium-to-large bank, which in turn reflects, at least in part, the complexity of our modern Financial System .
Open Source Risk Data with MongoDB and Python

Open Source Risk Data with MongoDB and Python

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Open Source Risk Data with MongoDB and Python Open source software is all the rage those days in IT and the concept is making rapid inroads in all parts of the enterprise. An earlier comprehensive survey by Gartner, Inc. found that by 2011 more than half of organizations surveyed had adopted open-source software (OSS) solutions as part of their IT strategy. This percentage may have currently exceeded the 75% mark according to open source advisory firms.
Open Risk API

Open Risk API

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Open Risk API If you work in financial risk management you will most likely recognize where the following sentence is coming from: One of the most significant lessons learned from the global financial crisis that began in 2007 was that banks information technology (IT) and data architectures were inadequate to support the broad management of financial risks. This had severe consequences to the banks themselves and to the stability of the financial system as a whole For those lucky few risk managers not being affected by inadequate IT systems, the excerpt is from the Basel Committee’s Principles for effective risk data aggregation and risk reporting (2013).
Resources for Concentration Risk

Resources for Concentration Risk

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Resources fo concentration risk management Concentration Risk Management is a staple of risk management. Open Riskdeveloped a unique and novel set of risk management resources to assist with building in-house knowledge for managing credit concentration risks. Resources range from courses and online manuals to open source calculators and mobile eLearning games. In this post we have a brief summary of what is available, you can find more details by clicking on the embedded links
The periodic table of risk elements

The periodic table of risk elements

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The periodic table of risk elements You know the periodic table of elements, even if you flunked your science courses! It is the large colorful and blocky table that hanged on every school’s classrooms before becoming yet another mobile app. The periodic table is one of the early and iconic achievements of science. It lists all the pure chemical elements found in nature, the building blocks of all possible material substances.