The role of simulation in risk management and decision support A Simulation is a simplified imitation of a process or system that represents with some fidelity its operation over time. In the context of risk management and decision support simulation can be a very powerful tool as it allows us to assess potential outcomes in a systematic way and explore what-if questions in ways that might otherwise be not feasible. Simulation is used when the underlying model is too complex to yield explicit analytic models (An analytic model is one can be “solved” exactly or with standard numerical methods, for example resulting in a formula).
Federated Credit Systems, Part I: Unbundling the Credit Provision Business Model: As an architectural design and information technology approach, federation has received increased attention in domains such as the medical sector (under the name federated analysis), in official statistics (under the name trusted data) and in mass computing devices (smartphones), under the name federated learning. In this (the first of series of three) white paper, we introduce and explore the concept of federated credit systems.
Course Content: This course is a CrashProgram (short course) introducing the GeoJSON specification for the encoding of geospatial features. The course is at an introductory technical level. It requires some familiarity with data specifications such as JSON and a very basic knowledge of Python Who Is This Course For: The course is useful to: Any developer or data scientist that wants to work with geospatial features encoded in the geojson format How Does The Course Help: Mastering the course content provides background knowledge towards the following activities:
Course Content: This course is an introduction to the concept of credit contagion. It covers the following topics: Contagion Risk Overview and Definition Various Contagion Types and Modelling Challenges The Simple Contagion Model by Davis and Lo Supply Chains Contagion Sovereign Contagion Who Is This Course For: The course is useful to: Risk Analysts across the financial industry and beyond Risk Management students Quantitative Risk Managers developing or validating risk models How Does The Course Help: Mastering the course content provides background knowledge towards the following activities:
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 a context of a property graph. A typical use case for the proposed framework is the study of credit networks. You can find the white paper here: (OpenRiskWP08_131219)
The challenge with historical credit data: Historical credit data are vital for a host of credit portfolio management activities: Starting with assessment of the performance of different types of credits and all the way to the construction of sophisticated credit risk models. Such is the importance of data inputs that for risk models impacting significant decision making / external reporting there are even prescribed minimum requirements for the type and quality of necessary historical credit data.
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 Atkinson Index Concentration Ratio Berger-Parker Index Herfindahl-Hirschman Index Hannah-Kay Index Gini Index Theil Index Shannon Index Generalized Entropy Index Kolm Index The image illustrates a simple use of the library where the HHI and Gini indexes are computed and compared for a range of randomly generated portfolio exposures.