What this blog post is about (and what it isn’t) With the ever more widespread adoption of Data Science, defined as the intensive use of data in various forms of decision making, there is a renewed interest in Visualization as an effective channel for humans to understand data at various stages of the data lifecycle. There is a large variety of visualization tools which can produce an ever more bewildering variety of visualization types
Intro FOSDEM is a non-commercial, volunteer-organized European event centered on free and open-source software development. It is aimed at developers and anyone interested in the free and open-source software movement. It aims to enable developers to meet and to promote the awareness and use of free and open-source software. FOSDEM is held annually since 2001, usually during the first weekend of February, at the Université Libre de Bruxelles Solbosch campus in the southeast of Brussels, Belgium.
The motivation for federated credit risk models Federated learning is a machine learning technique that is receiving increased attention in diverse data driven application domains that have data privacy concerns. The essence of the concept is to train algorithms across decentralized servers, each holding their own local data samples, hence without the need to exchange potentially sensitive information. The construction of a common model is achieved through the exchange of derived data (gradients, parameters, weights etc).
Overview of the Julia-Python-R Universe A new Open Risk Manual entry offers a side-by-side review of the main open source ecosystems supporting the Data Science domain: Julia, Python, R, sometimes abbreviated as Jupyter. Motivation A large component of Quantitative Risk Management relies on data processing and quantitative tools (aka Data Science). In recent years open source software targeting Data Science finds increased adoption in diverse applications. The Overview of the Julia-Python-R Universe article is a side by side comparison of a wide range of aspects of Python, Julia and R language ecosystems.
Motivation for the comparison A large component of risk management relies on data processing and quantitative tools. In turn, such information processing pipelines and numerical algorithms must be implemented in computer systems. Computing systems come in an extraordinary large variety but in recent years open source software finds increased adoption for diverse applications (machine learning, data science, artificial intelligence). In particular cloud computing environments are primarily based on open source projects at the systems level.
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.
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 go under the name of multi-state models, Markov chain models or state-space models. In financial applications a prominent example of phenomena that can be modelled using state transitions are credit rating migrations of pools of borrowers.
In this Open Risk Academy course we figure step by step how to use python to work with Loan Level Templates, using the ECB SME template as an example. Overview of the loan level template Manipulating spreadsheets with Python The Python Dictionary Organization of Portfolio Data Generating Test Portfolios Get an Open Risk Academy account and get started with the course here This blog has been verified by Rise: Rcf8d5e45f6964ba5d03bda4020a97dda
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 adopted open-source software (OSS) solutions as part of their IT strategy. This percentage may have currently exceeded the 75% mark according to open source advisory firms.
A python module of analytic solutions suitable for testing credit portfolio models has been uploaded in the Open Risk github repository