Regulatory Compliance & Approval
Supporting clients through regulatory approval and review
Combine the best of our risk analytics products with expert consultancy for an all-in-one compliance package
Regulatory complexity has been growing over the last 30 years, in particular as a response to the financial crisis in 2008/2009. For smooth business operations, it’s vital that firms have organizational structures, processes and models in place that withstand regulatory scrutiny. It is equally important from an economic perspective, as fallback solutions can be costly.
Setup & Information
What is ORE?
In this video, we give an overview
of what is Open-source Risk Engine (ORE):
... more
How to install ORE?
In this video, we explain how to
install and test Open source Risk Engine
... more
Files Configuration
Trades XML Files
In this video, we walk you through
the ORE XML trade detail specification
... more
How to change the reporting currency?
In this video we explain how to change
the reporting currency when pricing a trade
... more
General Configuration & Master File
In this video, we explain the general setup
of ORE , how the master file contains
all information regarding the other input files
... more
Trades & Analytics
Interest Rate Swap
In this video, we explain how to setup
ORE to price an interest rate swap.
... more
Equity Option with Implied Volatility Surface
In this video, we explain how to setup ORE
to price an equity option with implied volatility.
... more
Technical Finance
Specialist Expertise
Solving regulatory compliance
Quaternion Quant Services has supported many clients in their regulatory approval or review. And our experience extends beyond the support we offer our clients in consultancy projects. Acadia is a developer of professional risk analytics software and an ISDA accredited SIMM vendor. As a result, we have gained direct first-hand experience with international regulatory bodies on model approval, model review and model validation. Combining the best of the Acadia Risk suite with our Quant Services experience helps firms to fast-track their compliance programs in an efficient, cost-effective manner.
These are some of the regulatory projects that we have recently undertaken:
- Preparation of regulatory audit (e.g. TRIM) & findings remediation for Counterparty Credit Risk and Market Risk
- Preparation of model validation documentation to SR11-7 standards
- Preparation of regulatory approval process for internal Counterparty Credit Risk models and IM models
Other services you might be interested in
Regulatory Compliance & Approval Case Studies
TRIM Audit support for EU-Headquartered International Commercial Bank
Engagement Goal:
European Central Bank (ECB) Targeted Review of Internal Models (TRIM) audit preparation: Model validation for Counterparty Credit Models used for Capital under the Basel III Internal Model Method.
Project Description:
Quaternion Quant Services was retained by one of the first banks to undergo the ECB’s TRIM audit to provide comprehensive benchmarking, validation gap analysis, bottom-up review and updates to model documentation. The scope covered the Internal Model Method (IMM) models used for counterparty credit risk and included all asset classes. The result for our client was a successful completion of the TRIM audit.
Tier 1 Global Investment Bank - Initial Margin Model Validation
Engagement Goal:
Model Validation of Standardized Initial Margin Model (SIMM) for Federal Reserve and PRA submissions.
Project Description:
Quaternion Quant Services was retained to provide independent quantitative model validation and benchmarking to support a model approval submission for the SIMM model for both Federal Reserve and PRA submission. The work was documented to SR 11-7 standard and the ultimate regulatory submission was successful.
Counterparty Credit model development – Swiss Based International Tier 1 Bank
Engagement Goal:
Renewal and re-approval of Counterparty Credit Models to be used for regulatory capital under the Basel III Internal Model Method and to be used in multiple regulatory regimes.
Project Description:
Quaternion Quant Services was engaged as the lead consulting firm in a long term program to renew and seek approval for a modern, post-crisis suite of CCR IMM models, cross asset class. The resulting models were submitted and gained regulatory approval in multiple EU and non-EU regulatory regimes. The overall program of work involved research, development (including prototyping), documentation and submission assistance for a comprehensive suite of models. The work was done to the SR 11-7 standard mandated by the Federal Reserve bank. The ultimate regulatory submissions have been successful in multiple regulatory regimes.
Risks Not In Model Engine (RNIME) TRIM findings remediation - EU Headquartered International Commercial Bank
Engagement Goal:
Development of a methodology and implementation of algorithms supplementing the existing internal Value-at-Risk (VaR) engine that would provide estimates to the Risks Not In the Model Engine (RNIMEs) of the clients VaR model.
Project Description:
In the context of a TRIM audit, the internal VaR model of the client had received numerous findings with respect to the Risks Not In the Model Engine (RNIME). During the engagement, the Quaternion Quant Services team developed a quantification methodology for all RNIMEs that had been identified and implemented quantification algorithms to estimate the impact on the overall VaR of these risks. A total of 70 identified RNIMEs risks were quantified. Affected asset classes were interest rates, commodity, equities, FX and credit.
Introduction to the Open Source Risk Project
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.
