Open Source Risk User Meeting 2018

Quaternion sponsors an Open Source Risk User Meeting in Frankfurt on Friday 23rd November 2018 at Fleming’s Hotel, Frankfurt City, Eschenheimer Tor 2.

“The Open Source Risk Project’s objective is to provide a free/open source platform for risk analytics and XVA. ORE is based on QuantLib and grew from work developed by market professionals and academics.” (http://opensourcerisk.org)

With this first meeting we want to provide a communication platform for the ORE users in the industry and ORE’s developers, contributors and creators, to help propagating ORE’s usage and its further development.

The agenda will cover short presentations of use cases and leave sufficient room for discussing the future of ORE’s usage.

Attending the conference will be free of charge, but the number of seats is limited. If you want to join, please register on the bottom of the agenda.

The following is an indicative agenda. If you would like to share your experience with ORE, please let us know with your registration. We would be happy to rearrange the agenda.

Agenda / Speakers

08:15-09:00 Registration
09:00-09:15 Welcome Roland Lichters (Quaternion)
09:15-09:45 XVA-Valuation Project with ORE Roland Kapl (OeBFA – Österreichische Bundesfinanzierungsagentur)
09:45-10:15 Understanding the Impact of Regulation on Systemic Risk with ORE Nikolai Nowaczyk (Quaternion)
10:15-10:45 ORE in Pricing of Bermudan Swaptions: Client Experience from Model Validation Dmitry Zaykovskiy (Deutsche Pfandbriefbank AG)
10:45-11:15 Tea/Coffee
11:15-11:45 XVA Model Validation Patrick Büchel (Commerzbank)
11:45-12:15 Structured Loan Pricing and Embedded Prepayment Options in Project Financing High Yield Markets Oleg Kulkov (Allianz Global Investors)
12:15-12:45 Alternative Use Case for ORE: An Interactive Application for Financial Planning and Controlling Andreas Kewenig (Aareal Bank AG)
13:00-14:00 Lunch
14:00-14:30 Sensitivity Analysis, ISDA SIMM Benchmarking and Backtesting with RESTORE Niall O’Sullivan (Quaternion)
14:30-15:00 ORE in Python and Java Roland Lichters (Quaternion)
15:00-15:30 A precursor to ORE in Excel: Calculating the VaR using Deriscope and QuantLib Ioannis Rigopoulos (Deriscope)
15:30-16:00 Tea/Coffee
16:00-17:00 Discussion All
17:00-17:15 Wrap up Roland Lichters (Quaternion)
17:15-19:00 Reception

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