Setting the Industry Standard in
.

Leading Global Financial Risk Analytics.

 

Latest News & Events

IBOR Transition

Unsecured short-term interbank funding in the IBOR market (“InterBank Offered Rates”) has declined dramatically following the 2012 rate-fixing scandals and its integrity has been openly called into question. In July 2017, the UK’s Financial Conduct Authority declared that it would no longer persuade or compel banks to submit their interbank borrowing rates after 2021. While

Posted in News, Publications

MVA Using Algorithmic Differentiation

At the end of 2018, the financial industry has still not yet established a consensus methodology for calculation of Margin Value Adjustment (MVA) on non- centrally cleared derivatives. MVA represents the expected funding cost of initial margin over the lifetime of a trade/portfolio, and is particularly relevant today due to BCBS-IOSCO 261 – more commonly

Posted in News, Publications

 

 

The Open Source Risk Project

Open Source Risk Engine - Open Source Risk Analytics

The Open Source Risk Engine’s objective is to provide a free/open source platform for risk analytics and XVA. It is based on QuantLib and grew from work developed by market professionals and academics.

Our aim is to build on QuantLib’s simulation models, instruments, and engines, and work by professionals and academics. We are bringing large-scale open-source risk models to the public domain to facilitate research and understanding through simple interfaces for trade/market data and system configurations, and simple launchers. Learn More

Columbia University and Tullett Prebon Information

In association with Columbia University and Tullett Prebon Information

Transparent Analytics based on Open Source Pricing Technology

Consulting at the cutting edge helps us improve the Quaternion Risk Engine to help it meet upcoming market requirements.

Transparency in the analysis of risk is paramount to trust. We base our work on the following tenets:

  • Software based on the open source QuantLib pricing library
  • Fully open and extensible code base
  • Transparency and transparent methodologies

Our Risk Engine makes us think through how we meet consultancy engagements in great detail