Open Source Risk Engine – Open Source Risk Analytics

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Quantitative Derivatives
Pricing and Risk Modeling Program

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Risk management is at a crossroads.

Standard rules can reduce capital effectiveness, while ‘black box’ models generate concern. The increased volume and complexity of regulation is driving a need for global standardisation.

ORE Version 10 is Now Available - View on GitHub

Opensourcerisk.org is Acadia’s Open Source contribution to the risk community and its stakeholders. Opensourcerisk.org is the first end-to-end open source risk application that will provide complex risk analytics for financial institutions through a series of releases

ORE Version 10 is Now Available - View on GitHub

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ORE Version 10 is Now Available - View on GitHub

The Open Source Risk Engine’s objective is to provide a free/open source platform for risk analytics and XVA. It is based on QuantLib and grew from work developed by market professionals and academics.

The Open Source Risk project aims at establishing a transparent peer-reviewed framework for pricing and risk analysis that can serve as

a benchmarking, validation, training, teaching reference
an extensible foundation for tailored risk solutions

Open Source Risk Engine (ORE) provides

contemporary risk analytics and value adjustments (XVAs)
interfaces for trade/market data and system configuration (API and XML)
simple application launchers in Excel, LibreOffice, Python, Jupyter
various examples that demonstrate typical use cases
comprehensive test suites

ORE is based on QuantLib, the open source library for quantitative finance, and it extends QuantLib in terms of simulation models, financial instruments and pricing engines.

ORE is sponsored by Acadia as part of the firm’s commitment to transparency in pricing methods and risk analytics applied in the industry. ORE is free/open software, provided under the Modified BSD License, which permits using and modifying the code base as well as incorporating it into commercial applications.

ORE VERSION 11 NOW AVAILABLE

View on GitHub

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Open Source Risk Engine is sponsored by Acadia. The concept of open source is integral to the Firm’s vision. ORE is offered to the community as part of that vision and commitment to improve the transparency of risk analytics.

Open Source Risk Engine is open source software, provided under the Modified BSD License, which permits using, modifying the code base as well as incorporating it into commercial applications.

Release Timeline

The Lab

Risk Dashboard

Open Source

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