Open Source

16 posts

Stressing Transition Matrices

Release of version 0.4.1 of the transitionMatrix package focuses on stressing transition matrices Further building the open source OpenCPM toolkit this realease of transitionMatrix features: Feature: Added functionality for conditioning multi-period transition matrices Training: Example calculation and visualization of conditional matrices Datasets: State space description and CGS mappings for top-6 […]

Release 0.4 of transitionMatrix adds Aalen-Johansen estimators and many usability enhancements

Release of version 0.4 of the transitionMatrix package Further building the open source OpenCPM toolkit this realease of transitionMatrix features: Feature: Added Aalen-Johansen Duration Estimator Documentation: Major overhaul of documentation, now targeting ReadTheDocs distribution Training: Streamlining of all examples Installation: Pypi and wheel installation options Datasets: Synthetic Datasets in long […]

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

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 […]

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 […]

Transparency, standards, collaboration key to regaining trust in financial services

Transparency, collaboration key to regaining trust in financial services In banking, confidence is the first order of business Maintaining the confidence of market participants, clients, shareholders, regulators and governments is uniquely important for the financial sector. Trust is, quite literally, the real currency. Yet it is a truism that confidence […]

Risk Management Internship on the Cusp of a New Financial Era

Risk Management Internship In finance, it’s the best of times, it’s the worst of times It is a special moment to start a career in financial services. We are walking amid the ruins of the previous financial order. Fallen banks, broken markets, negative interest rates, shell-shocked economies and discredited theoretical […]

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 […]

Top Ten Reasons Why Open Source is the Future of Risk Modeling

Financial Risk Modelling has suffered enormous setbacks in recent years, with all major strands of modelling (market, credit, operational risk) proven to have debilitating limitations. It is impossible to imagine a modern financial system that does not make extensive use of risk quantification tools, yet rebuilding confidence that these tools […]