Open source risk engine

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  1. Overview
  2. Features & benefits
  3. Case studies
  4. Our solutions
  5. Testimonials
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With Your Open Source, You're in Control.

Our Quant Services embrace an open source approach in both code and culture, offering you speed, support, and complete control over your pricing and risk analysis.

Derivatives risk management can be complex.You might say a closed book. Until now, because Acadia's Quant Teamhas changed the paradigm with an Open-Source Risk Enginethat is completely free to access. This is where open sourcemeets open minds. In fact, industry-leading minds.Our team has published groundbreaking books and papersover a decade of research and development for the Open-Source Risk Engine.We're open to new ideas and open to sharing them.Opening up a new world of opportunity in pricing, risk analysis,and regulatory compliance because our open-source approachis open to whatever you need. -The transparency within Open Risk Engineis unseen in the industry, so I think it opens up that avenuefor financial institutions. -That means being open to customization,to put you in control of your pricing and risk platform.Open to the standardization of best practicesby inviting feedback through peer-reviewed governance.Open to something bigger, too, because Acadia is a key partof the London Stock Exchange Group, ensuring accessto the finest infrastructure as well as the highest standardsof integrity, accountability, and support. If you're open to change,open to reducing risk and costs, open to doing everything better,talk to Arcadia's Quant Team today. We are your open source.Open for business whenever you're ready to talkabout a more creative approach to derivatives risk management.We are your open source.The Open Source Risk Engine is the core of what Acadiaoffers our commercial clients on an outsourced, hosted softwareas a service basis, or SaaS basis. -ORE couldn't open up many possibilitiesfor clients. -The Open Risk Engine is a software toolthat is used across the financial landscape to price,to do risk analytics, and to counterparty credit risk.It's an all-in-one suite. -This allows you to do all sortsof risk analytics that you need to do if you are a participantin the derivative space. -Open Source,which is one of the coolest parts about it,is it's an open source software that you can usefor risk management and analytics. -The transparency within Open Risk Engineis unseen in the industry, so I think it opens up that avenuefor financial institutions. -Auditors and regulatorslove transparency, so you need to be able to explainwhat you're doing exactly. -The key thing it doesis it gives people control, so they can see what's going on.They can add to it. They can show the regulatorsand their internal model validation people what's going on under the hood.It's that transparency that's unique. -It makes validation very easy,and it agrees with the numbers across the industry.It allows firms to get away from third-party black box vendorsand better allocate their resources more effectively across their groups.Well, it empowers internal teams to solve problems for themselves.One of the problems when you use vendor softwareis that you're always at the behest of the vendorto make the changes that you need made. Whereas if you can make the changesyourself right there in front of you, that's a powerful thing.All of that functionality is available within the Open-Source Risk Engineentirely for free. -It immediately makes accessiblean enterprise-level risk system and the decades of experiencethat it took to make it.Well, of course, our team is completely awesome.Everybody is great. -Honestly, the team has been incredible.I do think our dev team is fantastic. -Scott Sobolewski,he's a partner in the US team. -I really do like the market data team.Peter Casper is my personal hero. -I love working with Jasmine.She is incredible. She works in the Philippines.I'm sure I've forgotten somebody. No, you have to cut this.Wait. Can I start over? Wait. No. -Sorry. That is nonsense.That's all right.

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Features & benefits

Open Source Risk Engine. Openly trusted.

Our Open Source Risk Engine (ORE) is the pricing and risk analysis tool that’s trusted and relied upon by the global financial community. Now in its 12th release, ORE is fast, flexible, user friendly and offers the comprehensive analytics you need.

ORE analytics

Analytics for financial instruments (derivatives, bonds & loans) across six asset classes (interest rates, foreign exchange, inflation, equity, credit and commodity) using our state-of-the-art scripting language for complex products:

Valuation, CSA pricing and XVA calculation. Market risk analysis, sensitivity analysis, stress testing, Value-at-Risk.
Credit exposure simulation.

ORE is flexible and user-friendly

ORE is designed to be accessible to end users and provide:

  • A simple command-line application with input/output files.
  • Transparent interfaces for trade data, market data, system configuration.
  • A detailed user guide with a large range of examples of ORE usage.
  • Integration with python, unleashing the flexibility and possibilities of jupyter notebooks
  • Library of training videos ORE Academy (opens in new tab).

The technical details

ORE is written in C++ and it is based on QuantLib, the “free/open-source library for quantitative finance”, which in turn depends on the Boost C++ libraries (boost.org). ORE provides a hierarchy of libraries for QuantLib extensions, data management and risk analytics which allow full extensibility. ORE’s SWIG language bindings facilitate integration of ORE with applications written in Python or Java.

Case studies

To find out more about Open Source Risk Engine, read a case study today.

Backtesting of future risk factors, an Open Source approach to validation case study

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Bank of England’s system-wide Exploratory Scenario (SWES) using our Open Source Risk Framework

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Capital Calculation: An analytical comparison of Standardised vs. Model-Based Approaches

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Our solutions

Open to everything

Testimonials

Open to something bigger

As part of LSEG, we offer you access to robust technology and security, together with the infrastructure you have a right to expect from a global leader. This is where speed and scale come together with integrity and accountability.

We're really glad that we decided to participate in the Acadia launch. The earlier we can get a view on our IM exposure and how the new process works.
Senior Treasury Operations Manager at UK-based Nationwide Building Society
Complying with the uncleared margin rules under ISDA SIMM can be a complex task requiring a potential drain on internal resources. However, our decision to outsource the IM Backtesting & Benchmarking reporting to Acadia has proven to be an efficient solution for Nordea.
Head of Risk Control at Nordea
During the recent environment, the market experienced hugely increased market volumes, while dealing with significant operational headwinds. The Acadia toolkit was instrumental in helping us manage our credit and operational risk through this time of great market volatility.
Global Head of Rates, JP Morgan

Insights

Explore all post trade insights

Capital Calculation: Standardised vs. Model-Based Approaches

Discover a detailed comparison of Standardised and Model-Based approaches to regulatory capital calculation.
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3 min

Harnessing Counterparty Credit Risk with Open Source Risk Engine

Explore how the Open Source Risk Engine (ORE) aids in backtesting future risk factors and managing counterparty credit risk effectively.
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19 min

The Future of Risk Management with Open Source

Explore how open source tech shapes risk management. Stuart Smith & Scott Sobolewski discuss ORE’s impact & real-world use cases.
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17 min

Stay up to date with Open Source Risk Engine

The Open Source Risk project is a transparent, peer-reviewed, free-to-access framework for pricing and risk analysis. It serves as a benchmarking, validation, training and teaching reference and an extensive foundation for tailored risk solutions.

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