FINANCE & ACCOUNTING
Leverage our expertise in advanced financial modeling and planning
Supporting clients with portfolio planning
Quaternion 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.
Setup & Information
What is ORE?
In this video, we give an overview
of what is Open-source Risk Engine (ORE):
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How to install ORE?
In this video, we explain how to
install and test Open source Risk Engine
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Files Configuration
Trades XML Files
In this video, we walk you through
the ORE XML trade detail specification
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How to change the reporting currency?
In this video we explain how to change
the reporting currency when pricing a trade
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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
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Trades & Analytics
Interest Rate Swap
In this video, we explain how to setup
ORE to price an interest rate swap.
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Equity Option with Implied Volatility Surface
In this video, we explain how to setup ORE
to price an equity option with implied volatility.
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Technical Finance
Specialist Expertise
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.
Other services you might be interested in
Finance & Accounting Case Studies
Market Risk and IFRS reporting support for a specialist German bank
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.
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.
Quantitative Derivatives Pricing and Risk Modeling Program
Master key analytical and decision-making skills in just six months, and elevate your career.
Acadia has partnered with Northeastern University to offer the opportunity to join an online program tailored specifically to enhancing your risk capabilities, allowing you to create or further your career in the derivatives industry. Participants can join from any global location.
