Open Risk White Papers

Open Risk is occasionally publishing White Papers covering a range of topics around risk management and sustainable finance, including conceptual and technical (quantitative / development topics).

  • We welcome external collaborators who are interested in the areas where Open Risk is active.
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Note: You can download all white papers in one go by cloning the GitHub repository

White Paper 15, Tensor Representations of ActivityPub Networks

White Paper 15, Tensor Representations of ActivityPub Networks

Reading Time: 1 min.
Open Risk White Paper 15: Tensor Representations of ActivityPub Networks In this third Open Risk White Paper on Connecting the Dots we explore representations of online communication networks that are organized according to the ActivityPub protocol. We discuss the main relevant features of the protocol and the broader application ecosystem around it that shapes emerging online network topologies. We develop a stylized description of ActivityPub compliant networks as a mathematical multilayer network.
White Paper 14, Integrated Energy Accounting using Relational Databases

White Paper 14, Integrated Energy Accounting using Relational Databases

Reading Time: 3 min.
Open Risk White Paper 14: Integrated energy accounting using relational databases In this Open Risk White Paper we demonstrate a concrete implementation of an integrated energy accounting framework using relational database technologies. The framework enables accounting of non-financial disclosures (such as the physical and embodied energy footprints of economic transactions) while enforcing the familiar double-entry balance constraints used to produce conventional (monetary) accounts and financial statements. In addition, it allows enforcing constraints associated with the flow and transformations of energy that can happen inside the organizational perimeter.
White Paper 13, Techniques for Federated Analysis

White Paper 13, Techniques for Federated Analysis

Reading Time: 1 min.
Open Risk White Paper 13: Federated Credit Systems, Part II: Techniques for Federated Data Analysis In this Open Risk White Paper, the second of series focusing on Federated Credit Systems, we explore techniques for federated credit data analysis. Building on the first paper where we outlined the overall architecture, essential actors and information flows underlying various business models of credit provision, in this step we focus on the enabling arrangements and techniques for building Federated Credit Data Systems and enabling Federated Analysis.
White Paper 12, Deep-Linking Financial and Energy Accounting

White Paper 12, Deep-Linking Financial and Energy Accounting

Reading Time: 1 min.
Open Risk White Paper 12: Deep-Linking Financial and Energy Accounting We develop a conceptual framework for integrated accounting that produces (where possible) non-financial disclosures subject to the same double-entry balance constraints as those used to produce conventional financial statements and automatically ensures any additional conservation laws are satisfied. We identify the key ingredients required for such a rigorous integrated accounting framework, in terms of concepts, postulates and design choices. Our focus and concrete use case is built around energy accounting, keeping track on an entity’s detailed energy footprint (primary inputs, transformations and waste generation) as an extension of its standard financial accounting and reporting.
White Paper 11, Sustainable Portfolio Management of GHG

White Paper 11, Sustainable Portfolio Management of GHG

Reading Time: 0 min.
Open Risk White Paper 11: Sustainable Portfolio Management: Attribution and Allocation of Greenhouse Gas Emissions We develop an analytic framework that synthesizes current approaches to sustainable portfolio management in the context of addressing climate change. We discuss the different required information layers, approaches to emissions accounting, attribution and forward-looking limit frameworks implementing carbon budget constraints. Download Download OpenRiskWP11_021221 Citation @ARTICLE{OpenRiskWhitePaper11, author = {P. Papadopoulos}, year = {2021}, note = {\href{https://www.
White Paper 10, Concentration, diversity in economic networks

White Paper 10, Concentration, diversity in economic networks

Reading Time: 1 min.
Open Risk White Paper 10: Connecting the Dots: Concentration, diversity, inequality and sparsity in economic networks In this second Open Risk White Paper on Connecting the Dots we examine measures of concentration, diversity, inequality and sparsity in the context of economic systems represented as network (graph) structures. We adopt a stylized description of economies as property graphs and illustrate how relevant concepts can be represented in this language. We explore in some detail data types representing economic network data and their statistical nature which is critical in their use in concentration analysis.
White Paper 09, Federated Credit Systems, Unbundling Credit Provision

White Paper 09, Federated Credit Systems, Unbundling Credit Provision

Reading Time: 1 min.
Open Risk White Paper 9: Federated Credit Systems, Part I: Unbundling The Credit Provision Business Model In this (the first of series of three) white paper, we introduce and explore the concept of federated credit systems. We review the rapidly developing fields of Federated Analysis and Federated Learning as already actively studied in the domains of medicine and consumer computing devices. This forms the backdrop for understanding the potential and challenges of applying similar concepts in finance and more particular credit provision.
White Paper 08, Economic Networks as Property Graphs

White Paper 08, Economic Networks as Property Graphs

Reading Time: 0 min.
Open Risk White Paper 8: Connecting the Dots, Economic Networks as Property Graphs We develop a quantitative framework that approaches economic networks from the point of view of contractual relationships between agents (and the interdependencies those generate). The representation of agent properties, transactions and contracts is done in the context of a property graph. A typical use case for the proposed framework is the study of credit networks. Download OpenRiskWP12_230922 PDF
White Paper 07, Risk Capital for Non-Performing Loans

White Paper 07, Risk Capital for Non-Performing Loans

Reading Time: 1 min.
Open Risk White Paper 7: Risk Capital for Non-Performing Loans We develop a conceptual framework for risk capital calculation for portfolios of non-performing loans. In general banking practice, loans that pass a threshold of delinquency are declared non-performing and are provisioned. Yet there is a residual risk that the provisioning is not sufficient. This risk must be covered by capital buffers. The literature for risk capital requirements for NPL portfolios is very limited, which implies that Stress Testing and Internal Capital Adequacy Assessment (ICAAP) requirements for non-performing loans are harder to meet.
White Paper 06, Stress Testing Methodology for FX Lending

White Paper 06, Stress Testing Methodology for FX Lending

Reading Time: 1 min.
Open Risk White Paper 6: Stress Testing Methodology for FX Lending We develop a simple methodology for stress testing portfolios of credit instruments classified as foreign exchange lending. Loans whose repayment schedule is denominated in a currency other than that of the borrower’s domestic currency are commonly seen in many jurisdictions and have a risk profile that is considerably more complicated than domestic currency loans. Yet the literature for credit risk assessment and stress testing of portfolios of such loans is very limited, which means that Stress Testing and Internal Capital Adequacy Assessment (ICAAP) requirements are harder to meet.
White Paper 05, Identification of Business Model Risks

White Paper 05, Identification of Business Model Risks

Reading Time: 0 min.
Open Risk White Paper 5: Identification Framework for Business Model Risks We develop an analytical framework for the systematic identification of business model risks. The framework utilizes as a starting point a simplified business model schema known as the Business Model Canvas. We review each one of the elements of the schema in turn, identifying the main risk characteristics associated with each. Download Download OpenRiskWP05_010916 Citation @ARTICLE{OpenRiskWhitePaper05, author = {P.
Open Risk API Presentation

Open Risk API Presentation

Open Risk API: Improved financial risk management through open data, open source and web technologies. This is a Presentation given at the TopQuants/DNB Autumn Meeting, Amsterdam, Nov 18, 2015.

Reading Time: 0 min.
Presentation at TopQuants 2015: Open Risk API Improved financial risk management through open data, open source and web technologies. This is a Presentation given at the TopQuants/DNB Autumn Meeting, Amsterdam, Nov 18, 2015 Download Download OpenRiskWP00_111815 Source Code Open Risk API Citation @ARTICLE{OpenRiskWhitePaper00, author = {P. Papadopoulos}, year = {2015}, note = {\href{https://www.openriskmanagement.com/wp-content/uploads/2015/11/TopQuants2015.pdf}{Download URL}}, title = {{Presentation at TopQuants 2015: Open Risk API}}, journal = {Open Risk White Papers} }
White Paper 04, Open Risk Model Taxonomy

White Paper 04, Open Risk Model Taxonomy

Reading Time: 1 min.
Open Risk White Paper 4: Open Risk Model Taxonomy We develop a taxonomy for risk models that aims to support an open source risk models framework. The proposal builds on and extends some commonly used risk taxonomies within financial services firms but introduces some significant new elements. We first review the motivation for risk taxonomies, the concepts and tools that are involved and some weaknesses of current schemes. We try also to clarify the link between risk models and risk taxonomies.
White Paper 03, Introducing the Open Risk API

White Paper 03, Introducing the Open Risk API

Reading Time: 1 min.
Open Risk White Paper 3: Introducing the Open Risk API We develop a proposal for an open source application programming interface (API) that allows for the distributed development, deployment and use of financial risk models. The proposal aims to explore the following key question: how to integrate in a robust and trustworthy manner diverse risk modeling and risk data resources, contributed by multiple authors, using different technologies, and which very likely will evolve over time.
White Paper 02, Confidence Capital - The Principle

White Paper 02, Confidence Capital - The Principle

Reading Time: 1 min.
Open Risk White Paper 2: Confidence Capital: The Principle We review the structure of economic capital frameworks commonly used within financial institutions and identify why the derived capital metrics do not explicitly address the needs for maintaining ongoing confidence on the soundness of the firm. In the follow-up to the financial crisis the need for more explicit such tests has been highlighted by regulatory stress testing methodologies. The likelihood and severity of a future ratings downgrade (as opposed to a default within the risk horizon) are the two key new risk appetite inputs required for the framework.
White Paper 01, Revisiting Simple Concentration Indexes

White Paper 01, Revisiting Simple Concentration Indexes

We review the definitions of widely used concentration metrics such as the concentration ratio, the HHI index and the Gini and clarify their meaning and relationships.

Reading Time: 1 min.
Open Risk White Paper 1: Revisiting Simple Concentration Indexes We review 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 brings to the fore the underlying unifying concept behind these metrics, thereby enabling their more informed use in portfolio and risk management applications.