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Support for averaged overnight index linked products.The observed value of coronary heart disease (CHD) incidence after 5 years and the predicted value by the JJ risk engine as of 2013 were compared and verified using the discrimination and calibration values.
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#RISK ENGINE FULL#
In the advent of Phase 5 of the Uncleared Margin Rules, 60+ of Acadia’s clients are now using ORE for compliance to the rules within Acadia’s risk services which cover a full range of asset classes and two forms of backtesting – static and dynamic. With the new release of ORE, Acadia clients have the ability to validate initial margin (IM) calculations by reviewing and testing key components of ORE, such as curve building, and run valuations and sensitivity analysis using the client’s rather than Acadia’s market data feeds. Many buy-side firms use ORE as a blueprint and extensible foundation for tailored pricing and risk solutions in areas such as valuation, X-Valuation Adjustments, model validation and collateral management. “The release of ORE 6 will accelerate our ability to standardize process, data and now risk calculations across the market, allowing for widespread automation while reducing risk.” “Acadia sponsors the Open Source Risk Engine as part of our commitment to improving the transparency of risk analytics,” said Roland Lichters, co-head of Quantitative Services at Acadia. ORE is an Open Source Software project, designed for contemporary pricing and risk analytics of traded financial products. The latest version of the project builds upon a transparent peer-reviewed framework intended to serve use cases such as benchmarking, validation, training, as well as acting as an extensible foundation for in-house and vendor solutions. Acadia announced the sixth release of its Open Source Risk Engine (ORE 6).