ICAAP

First public release of the Solstice simulation framework

First public release of the Solstice simulation framework

Solstice is a flexible open source economic network simulator. Its primary outcomes are quantitative analyses of the behavior of economic systems under uncertainty. In this post we provide a first overall description of Solstice to accompany the first public release.

Reading Time: 5 min.

Modeling economic networks and their dynamics

Economic networks are the primary abstractions though which we can conceptualize the state (condition) and evolution of economic interactions. This simply reflects the fact that human economies are quite fundamentally systems of interacting actors (or nodes in a network) with transient or more permanent relations between them.

The limits and risks of risk limits

The limits and risks of risk limits

Reading Time: 2 min.

Limit frameworks are fundamental tools for risk management

A Limit Framework is a set of policies used by financial institutions (or other firms that actively assume quantifiable risks) to govern in a quantitative manner the maximum risk exposure permitted for an individual, trading desk, business line etc.

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

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

Reading Time: 1 min.

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.

Release of version 0.3 of the Concentration Library

Release of version 0.3 of the Concentration Library

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Release of version 0.3 of the ConcentrationMetrics Library

Further building out the OpenCPM set of tools, we release version 0.3 of the ConcentrationMetrics 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

Revisiting simple concentration indexes

Revisiting simple concentration indexes

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Revisiting simple concentration indexes

Our white paper Revisiting simple concentration indexes reviews the definitions of widely used concentration metrics such as the concentration ratio, the HHI index and the Gini and clarify their meaning and relationships.

Concentrating on Concentration Risk

Concentrating on Concentration Risk

Reading Time: 4 min.

Concentrating on Concentration Risk

Senior economists such as Ben Bernanke were still studying the Great 30s Depression when the financial crisis struck in full force circa 2007. Given the complexity of the modern economic and financial landscape compared to the blessed good old days - we have no reports of FWMD (financial weapons of mass destruction) from back then - we can reasonably project that economists will be studying and pontificating on causes and remedies for the current crisis for the next 100 years or so.

FuriousBanker: The Credit Detox Challenge

FuriousBanker: The Credit Detox Challenge

Reading Time: 2 min.

FuriousBanker(TM) helps you learn risk management concepts in a fun and engaging way. This educational game series for mobiles and tablets is developed by Open Risk to enable modern interactive elearning for people working (or aspiring to work) in financial risk management.

The first episode sees FuriousBanker facing The credit detox challenge:

Free Online Courses on Credit Concentration

Free Online Courses on Credit Concentration

Reading Time: 1 min.

As part of the public beta testing programme, two new Open Risk Academy courses are accessible absolutely free (and with no strings attached :-).

The courses are introductions to measuring credit name or sector concentrations in credit portfolios. They cover the following topics:

  • The concept of credit name or sector concentration - what it is and how it can be measured
  • The regulatory context and how the issue is covered by requirements and regulatory guidance
  • The measurement of credit name or sector concentrations using basic indicators and indexes
  • The measurement of credit name or sector concentrations using more advanced (risk based) indicators

The courses run from Oct 7th till Oct 13th. Read more about prerequisites for the courses here:

Benchmarking and the future use of internal capital models

Benchmarking and the future use of internal capital models

Reading Time: 0 min.

The rationale for continuing with internal capital models in the Basel 3 world

Overview of the challenges and opportunities offered by internal capital models (economic capital models) in the post-crisis era. Conference Presentation given at:

  • Venue: 2nd Annual Capital Modelling under Basel III (Marcus Evans Conference)
  • Location: London
  • Time: January 28th 2014
  • Link to presentation: Local file