White Papers

12 posts

Open Risk White Paper Archives

Blog posts introducing white papers and other OpenRisk research, presentations or publications. For a summary list of White Papers and download links go here

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 […]

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 […]

Open Risk Commentary on Simple Securitisations

Criteria for identifying simple, transparent and comparable securitisations (BIS D304) Our view is that securitisation is fundamental financial technology and there is no intrinsic technical reason why it could not be harnessed to best serve the functioning of modern economies. We believe, though, that a comprehensive overhaul of historical securitisation […]

Benchmarking and the future use of internal capital models

The rationale for continuing with internal capital models in the Basel 3 world Overview of the challenges and opportunities offered by internal capital models (economic capital models) in the post-crisis era. Conference Presentation given at: Venue: 2nd Annual Capital Modelling under Basel III (Marcus Evans Conference) Location: London Time: January […]