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Leading Global Financial Risk Analytics.


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Machine Learning in Finance: New Stochastic Volatility Models

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Introduction to the Open Source Risk Project

This short webinar introduces you to the Open Source Risk Project and Open Source Risk Engine (ORE). Roland Lichters, co-founder and CTO of Quaternion, walks you through ORE’s history and mission, project and analytics scope and shows how to quickly get your hands on running ORE. For more detail, please visit

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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

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