FINANCE & ACCOUNTING
Our Quant Services team provides firms with an independent assessment of their financial planning, helping them to review the evolution of their portfolios, especially those under specific modeling assumptions.
Our experience and software help firms to calculate their accounting P&L impact under economic scenarios and puts in place an event engine for scenario generation. This allows firms to estimate and predict a portfolio's value and risk based on a range of economic criteria.
Past projects include the unification of asset representation across a bank's entire balance sheet, enabling a unified risk estimate, financial modeling and planning.
Engagement Goal:
A bank required the implementation of an engine capable of computing International Financial Reporting Standards (IFRS) P&L and risk numbers for their entire balance sheet.
Project Description:
Quaternion Quant Services implemented a pricing and risk engine for the finance and front office departments that could compute key inputs for the reporting and risk management of IFRS numbers. We introduced Open Risk Engine (ORE) that covered all of the bank’s financial instruments (deposits, loans, money market, bond and derivative trades) to compute current IFRS margins for all positions and risk numbers, providing a clear view of the bank’s overall IFRS income.
Watch this short video to learn more about the Open Source Risk Project. Roland Lichters, formerly Co-Founder of Quaternion and now Co-Head Quantitative Services at Acadia walks you through ORE's history, project and analytics scope and demonstrates how to get started quickly with ORE.
Check out the ORE Academy for a full library of learning materials to discover all the possibilities within ORE.
