Credit Portfolio PnL volatility under IFRS 9 and CECL   New !

Credit Portfolio PnL volatility under IFRS 9 and CECL Objective We explore conceptually a selection of key structural drivers of profit-and-loss (PnL) volatility for credit portfolios when profitability is measured following the principles underpinning the new IFRS 9 / CECL standards Methodology We setup stylized calculations for a credit portfolio […]

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

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, […]

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

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 […]

IFRS 9 Expected Credit Loss and Risk Capital   New !

The new IFRS 9 financial reporting standard IFRS 9 (and the closely related CECL) is a brand new financial reporting standard developed and approved by the International Accounting Standards Board (IASB). Strictly speaking IFRS 9 concerns only the accounting and reporting of financial instruments (e.g. bank loans and similar credit […]

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

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 […]

Release of version 0.3 of the Concentration Library

Release of version 0.3 of the Concentration Library Further building out the OpenCPM set of tools, we release version 0.3 of the Concentration 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 […]

OpenCPM NPL Database

First Release: OpenCPM NPL Database Further building out the OpenCPM set of tools, we took the Eupean Banking Authority’s recommended Non-Performning Loan templates and created an #opensource production grade database for capturing NPL portfolio data sets. Motivation for Building an open source database based on EBA’s Standardized NPL Templates In […]

Transition Matrix Library First Release

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 […]

The Zen of IFRS 9 Modeling

At Open Risk we are firm believers in balancing art and science when developing quantitative risk tools. The introduction of the IFRS 9 and CECL accounting frameworks for reporting credit sensitive financial instruments is a massive new worldwide initiative that relies in no small part on quantitative models. The scope […]

RegNews Upgrade and Dashboard Integration

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 […]

Correlation Radar added to the Dashboard

Correlation Radar added to the Dashboard About the Correlation Radar: The EU Risk Dashboard is a web app developed by OpenRisk 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 […]

FX Lending Risk

FX Lending Risk A stress testing methodology for analyzing FX lending risk. Extends standard credit risk modelling tools to capture the increased risks of FX lending in a consistent way Financial Weapons of Mass Destruction Warren Buffet famously declared financial derivatives as weapons of mass destruction (although apparently this did […]

Seven Heavens of Finance and the Open Risk API

Seven Heavens of Finance and the Open Risk API Back-to-basics is not salvation It has become trendy since the financial crisis to be wearing an “anti-complexity” hat in matters concerning the shape of the financial system. This is an understandable reaction to the entangled constructions that had sprung to existence […]

Open Risk is proud to be funded by the EU FIWARE FINODEX accelerator

Open Risk is proud to be funded by the FIWARE FINODEX accelerator! Finodex, the European accelerator for ICT projects based on Open Data and FIWARE technologies, has already chosen over one hundred projects via two open calls for proposal. This week the results of the second call evaluation closed in […]

Revisiting simple concentration indexes

Revisiting simple concentration indexes Our white paper “Revisiting simple concentration indexes” reviews the definitions of widely used concentration metrics such as the concentration ratio, the HHI index and the Gini and clarify their meaning and relationships. This new analytic framework helps clarify the apparent arbitrariness of simple concentration indexes and […]