Run ORE's native zero-domain interest-rate sensitivities for a single-curve EUR-ESTER OIS, then follow the Jacobian par conversion that maps those deltas onto the liquid OIS quotes a trader can actually bump. Close the loop with an independent 15Y manual bump-and-reval: a ±1bp bump of the actual OIS quote whose re-valued NPV lands within 0.7% of the par table's total. Includes both config passes, the Jacobian matrix, cleaned zero- and par-domain tables, and the finite-difference check.
Explore how ORE's open architecture enables rigorous model validation. Walk through two canonical validation pathways — the cashflow report and the additionalResults file — applied to an Interest Rate Swap and an Equity Option position.
Ingest flat client trade files and translate them into ORE-compatible XML portfolios using Python. Validate the output against ORE's XSD schema and automate valuation runs.
I had the pleasure of speaking on two topics at the LSEG Quant Summit 2026 in London: "ORE in the Era of Agentic AI" and "LSEG’s Internal Adoption of ORE."
Presented at the LSEG Quant Summit London 2026, discussing LSEG’s internal adoption, integration, and scaling of the Open-Source Risk Engine (ORE) across its post-trade and risk services.
Presented at the LSEG Quant Summit London 2026, exploring the capabilities and limitations of Large Language Models (LLMs) in writing pricing and risk models, alongside real-world examples of how AI agents create value within the Open-Source Risk …
Attended and supported our APAC team’s ORE & Risk Analytics Lab event in Tokyo, which gathered Japanese market participants and risk professionals from leading financial institutions for an afternoon focusing on CVA frameworks, customized risk …
Featured on LSEG’s Ahead of the Curve podcast alongside Scott Sobolewski and Xabier Anduaga to discuss the UK model risk regulatory landscape (such as SS1/23), open-source ORE tools, and the Risk Analytics Lab.
Joined the Ahead of the Curve: 2024 Year in Review podcast episode alongside Scott Sobolewski and Roland Stamm to reflect on key ORE developments in 2024 (including PFE, XVA, and market risk sensitivities) and a look ahead to 2025.