Open Risk Engine - Financial Instruments Pricing and Risk Analysis - Roland Stamm

Open Source In Finance Forum 2024 - London
Presented by Roland Stamm, Acadia - An LSEG Business
Title: Open Risk Engine - Financial Instruments Pricing and Risk Analysis
Abstract: Acadia proposes to present the Open-Source Risk Engine (ORE), an open-source framework for derivatives pricing and risk analytics. The session is intended to provide attendees with an overview of ORE from a technical and practical implementation perspective. With quarterly updates and over 150 financial institutions utilising ORE on a daily basis, this presentation will be extremely useful and informative for the audience. We will provide delegates with an insight in ORE and how it is being deployed for free by financial institutions across a range of use cases including model validation, market risk analytics such as sensitivities and VaR calculations, credit risk analytics to compute xVAs and exposures, benchmarking and backtesting. ORE can be used for Balance Sheet valuation, credit exposure simulation, derivatives valuation, value adjustments, CSA pricing and market risk and it is fully extensible. We welcome the opportunity to share practical examples where ORE is being used alongside the support and training materials that are available for the community to leverage. Further information can be found on www.opensource...
You can find the slides here: osfflondon2024...%&sidebar=yes&bg=no
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