Acadia releases 12th update of ORE
30 May 2024 US
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Acadia has announced the 12th release of its Open Source Risk Engine (ORE).
This latest release of its ORE, completes a financial instrument rollout across all risk classes covered by the service, as well as complex hybrid products represented using scripted payoffs.
The 12th release aims to bring significant extensions of market risk and initial margin analytics — stress testing in the par rate domain, historical simulation VaR, backtesting, P&L and P&L explain, XVA stress testing and sensitivity analysis.
Roland Lichters, co-head of Quantitative Services at Acadia, says: “The latest release is another step towards a fully transparent engine that covers market risk and credit exposure measurement, pricing and XVA across the wide range of derivatives in ORE, suitable for both production and model validation use in these areas.”
This latest release of its ORE, completes a financial instrument rollout across all risk classes covered by the service, as well as complex hybrid products represented using scripted payoffs.
The 12th release aims to bring significant extensions of market risk and initial margin analytics — stress testing in the par rate domain, historical simulation VaR, backtesting, P&L and P&L explain, XVA stress testing and sensitivity analysis.
Roland Lichters, co-head of Quantitative Services at Acadia, says: “The latest release is another step towards a fully transparent engine that covers market risk and credit exposure measurement, pricing and XVA across the wide range of derivatives in ORE, suitable for both production and model validation use in these areas.”
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