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Big Data and Graph Theoretic Models: Simulating the Impact of Collateralization on a Financial System

In this paper we represent a financial system using a weighted directed graph model. We simulate and analyze the impact of financial regulations regarding the collateralization of derivative trades on systemic risk, employing a novel open source risk engine. The analysis finds that introducing collateralization does reduce the costs of resolving a financial system in

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Forecasting Initial Margin Requirements – A Model Evaluation

The introduction of mandatory margining for non-cleared portfolios has major implications for the pricing and risk measurement of OTC derivatives. In particular, a model for estimating future initial margin requirements is necessary to enable the calculation of pricing adjustments (MVA), net counterparty credit exposures and credit capital (RWA). Existing literature on the topic suggests a

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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

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