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Mitor


Total Posts: 2
Joined: Apr 2017
 
Posted: 2017-04-29 02:42
Hello
Do you have an opinion about what product is better for market risk analytics Numerix, Fincad or others? Particularly for the calculation of xVAs and FRTB?
What do you think about building a system using quantlib? Have you used Open Source Risk Engine?
Keep in mind that I am talking about a medium regional bank (south america) without very complex derivatives (no exotics, mostly fixed income, IRS, CCS, FX options).
thanks

finanzmaster


Total Posts: 125
Joined: Feb 2011
 
Posted: 2017-04-29 22:36
Hi,

though I didn't use Open Source Risk Engine, it is based on QuantLib and Roland Lichters (one of the founder) is a core developer of QuantLib.

QuantLib is a very powerful weapon... heavy enough to to shoot your own foot.
However, my notes can help you to get started: http://yetanotherquant.com/QuantLib/book/BookQuantLib.pdf

So if you are persistent and have time, OSRE can be the best solution, at least in the sense price/features trade-off.

www.yetanotherquant.com - Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students

mtsm


Total Posts: 195
Joined: Dec 2010
 
Posted: 2017-04-29 23:40
Email me if you want, I have experience with all three.

rickyvic


Total Posts: 117
Joined: Jul 2013
 
Posted: 2017-05-03 16:40
I use Matlab and the compiler, it should handle most things. If not you write some code for it.

"amicus Plato sed magis amica Veritas"
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