Open-Source Risk Engine
Open-source software for tailored risk analysis and XVA
The FinTech Lab will explore collaborative research applications of open source software tools that focus on systemic counterparty risk within the global financial system. This open source initiative will increase the industry's financial literacy by broadening public access to quantitative financial models, improve model performance through intense public scrutiny, and reduce systemic risk by giving smaller, potentially less sophisticated institutions and governments the proper tools to calculate and comprehend their risk exposures.
We aim to provide increased financial literacy for students and non-technical risk managers through the industry’s first freely available, open source analytics engine and visualization tool. The Risk Dashboard's early warning framework helps identify risk limit breaches with drill-down functionality and trend analysis, and will enable multiple research applications within academia and executive education.
Builds on QuantLib’s simulation models, instruments, and engines, and work by professionals and academics
Brings large-scale open-source risk models to the public domain to facilitate research and understanding
Simple interfaces for trade/market data and system configurations, and simple launchers
Demo the Dashboard
Learning More about Financial Regulation
The recent SPS Spotlight: FinTech and Financial Regulation, held at the Columbia Club in November 2016, was an immense success. The engaging and timely program featured panelists Emanuel Derman, Paul Glasserman, Sharyn O’Halloran, Brian Ruane, Mayur Thakur, and Ben McLannahan. They explored a number of key concepts and themes in Financial Technology and Regulation. And their subsequent conversation with the audience members was lively and informative.
If you would like to view it again, you can watch the video below. Or read through Professor O'Halloran's Prezi presentation.