Harnessing counterparty credit risk using the Open Source Risk Engine

Join our host Roland Stamm, Partner at Acadia’s Quantitative Services team alongside his colleague Joey O’Brien (Senior Consultant) as they explore the topic of Backtesting of Future Risk Factors. This discussion is inspired by a recent client engagement, focusing on the utilization of the Open-Source Risk Engine (ORE) library within a counterparty credit risk framework.

The conversation shifts to the broader regulatory landscape, touching on recent developments from the Bank of England and the increased scrutiny following high-profile defaults like Credit Suisse in 2022 and Archegos. They discuss the implications of Basel III and FRTB on standardized models and the cost benefits of maintaining Internal Models Method (IMM).

Listen time: 18 minutes

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Join our host Roland Stamm, Partner at Acadia’s Quantitative Services team alongside his colleague Joey O’Brien (Senior Consultant) as they explore the topic of Backtesting of Future Risk Factors. This discussion is inspired by a recent client engagement, focusing on the utilization of the Open-Source Risk Engine (ORE) library within a counterparty credit risk framework.

The conversation shifts to the broader regulatory landscape, touching on recent developments from the Bank of England and the increased scrutiny following high-profile defaults like Credit Suisse in 2022 and Archegos. They discuss the implications of Basel III and FRTB on standardized models and the cost benefits of maintaining Internal Models Method (IMM).

Listen time: 18 minutes

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