TPI and Quaternion to Start the Process of Standardising Risk Modelling

  • Risk Management
  • 08.12.2016 09:30 am

Tullett Prebon Information (TPI), the leading provider of independent real-time price information from the global OTC financial and commodity markets, and Quaternion Risk Management, a leading risk analytics firm, have partnered to launch an innovative open source risk project in collaboration with Columbia University.

Open Source and Standardisation of Risk Models

The new partnership will support, an open source code for derivative risk analytics, and Quaternion’s Open Source Risk Engine (ORE), which can improve accuracy, efficiency and transparency across a number of risk calculations including Credit Value Adjustments (CVA) and other derivatives exposures. 

The collaboration provides a completely transparent approach to risk calculations and new data visualisation techniques which could start a process of standardising risk modelling across the industry.

Donal Gallagher, CEO at Quaternion Risk Management, commented: “The standardisation of risk models represents a significant opportunity for banks following the vast number of new regulations over the past decade. The project with Columbia University, powered by TPI’s data, allows the community to join forces around an open source model using the most accurate and relevant market information available.”

Frank Desmond, CEO at TPI, added: “Quaternion’s open source risk framework is of huge value to the academic community, facilitating research into the fundamental drivers of financial markets. In addition, at a commercial level, the initiative can help banks to manage their capital more efficiently while meeting regulatory obligations. Our data, Quaternion’s innovative approach and Columbia University’s research will provide the financial markets with more clarity on risk. We are delighted to be working with two forward-thinking organisations.”

Columbia University FinTech Lab

Columbia University’s FinTech Lab is the first academic institution to leverage the partnership to further academic research of risk modelling in regulatory and systemic risk. TPI, Quaternion and Columbia University invite finance professionals and the academic community to test, improve and develop the open source code and contribute to the progress of standardised models.

Sharyn O'Halloran, George Blumenthal Professor of Political Economy and Professor of International and Public Affairs and the Chief Academic Officer and Senior Vice Dean at the School of Professional Studies at Columbia University, added: “Columbia University’s FinTech Lab brings together an interdisciplinary team of scholars and practitioners to provide solution-based research and tools to promote transparency in financial markets. The open source risk framework and Risk Dashboard are examples of our current collaborative efforts and we encourage others to contribute and join the debate.”

Professor O’Halloran spoke at a recent event at the Columbia Club in Manhattan to showcase the collaboration and theColumbia FinTech lab.

TPI and Quaternion separately intend to partner on the development of enhanced data products and services to address banks’ needs for analytically robust solutions to strategic problems.  For more information on the open source risk project

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