Risk Modelling

16 posts

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, […]

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 […]

Guiding principles for a viable open source operational risk model

Guiding principles for a viable open source operational risk model (OSORM) Such a framework: Must avoid formulaic inclusion of meaningless risk event types (e.g., legal risk created by the firm’s own management decisions) or any risks where the nature and state of current knowledge does not support any meaningful quantification. […]

Reducing variation in credit risk-weighted assets – The benign and vicious cycles of internal risk models

Reducing variation in credit risk-weighted assets – The benign and vicious cycles of internal risk models March 2016 wasn’t a good month for so called “internal risk models”, the quantitative tools constructed by banks for determining such vital numbers as how much buffer capital is needed to protect the savings […]

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 Source Risk Data with MongoDB and Python

Open Source Risk Data with MongoDB and Python Open source software is all the rage those days in IT and the concept is making rapid inroads in all parts of the enterprise. An earlier comprehensive survey by Gartner, Inc. found that by 2011 more than half of organizations surveyed had […]

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 […]