Open Source Risk Models


Open Source Risk Models

Open Source Risk Models:

Open Risk supports the use of open source and non-proprietary frameworks, standards and languages for the development of risk modelling tools and solutions. There is already a fantastic set of building blocks available for supporting an open source risk modelling universe, including but not limited to:

  • The Python language, tools and libraries
  • The C++ language and Libraries
  • R, the statistics (and more) modelling language and libraries

For motivation, context, various open source points and a “getting started” guide, please check this online
presentation

A summary is available in this post

Open Risk promotes, in particular, the use of Python, a modern, free, powerful and widely available computing platform for the prototyping, documenting and validating of risk analytics relevant for risk management. One of the many benefits of adopting Python is that it can easily integrate already available specialized libraries such as those provided by R or C++.

Open Source Risk Library

Our long-term objective is to build a high quality, open source risk management base (models & documentation, annotated datasets) that will be widely available.

To that effect we are operating a Github repository for the collaborative development of open source risk management tools

Discussion and organization of open source risk model development is supported by the Risk Forum

Logo of openriskpy

Current Projects

  • Current focus is on testing credit portfolio models for correctness and accuracy against solid benchmark solutions. Portfolio Analytics is a library aiming to fill this gap by providing implementations of analytic solutions that can be used to test more complex simulation frameworks
  • Longer term, OpenCPM is an ambitious effort to produce an open source credit portfolio management solution. Please join us in this exciting journey!