Tullett Prebon Information (TPI), a provider of independent real-time price information from the global over-the-counter (OTC) financial and commodity markets, has teamed up with Quaternion Risk Management to launch an innovative open source risk project in tandem with Columbia University.

Quaternion Risk Management is a specialist in risk analytics – together with TPI, the groups will help foster improved transparency and risk modeling techniques, supporting opensourcerisk.org, an open source code for derivative risk analytics, in conjunction with Quaternion’s Open Source Risk Engine (ORE).

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Standardized Risk Modeling in Focus

The goal of the partnership will be to help improve accuracy and efficiency measures across a number of risk calculations by utilizing Credit Value Adjustments (CVA), among other derivatives exposures. Consequently, the adoption of such techniques will also aim to instigate a process of standardizing risk modeling across the OTC industry.

Columbia University boasts a state of the art FinTech Lab, which is one of the first academic groups to help promote research into risk modeling in regulatory and systemic risk.

According to Donal Gallagher, Chief Executive Officer of Quaternion Risk Management, in a recent statement on the partnership: “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.”

“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,” explained Frank Desmond, CEO at TPI, in an accompanying statement.