The UnRisk Technology Stack

Over more than 13 years we've built the UnRisk Technology Stack helping us to leverage our development of products with a maximum in productivity and flexibility.

A financial language implemented in engines for all major environments

It's driven by the high-level, declarative UnRisk Financial Language with built-in algorithms, knowledge and automation, implemented in the UnRisk gridEngines, the UnRisk Portfolio Factory, the VaR Engine and the xVA Engine…this engines are inherently parallel optimizing accuracy at performance…prepared to calculate values and risk spectra of financial objects from single instruments to comprehensive portfolios (across scenarios).

Combined with data

Knowing from the beginning that valuation and data management must be twins, we've designed the UnRisk Data Framework managing all UnRisk objects and external (market) data.

For multi-environment deployment

UnRisk supports computable documents, Excel is supported by the UnRisk Excel Link and web front-ends are built of webUnRisk or special UnRisk Java Services that work with the UnRisk Data Framework.

In order to make systems that are solutions and development systems in one we've linked the UnRisk Financial Language and its Engines to the UnRisk Data Framework.

And now - project or product?

How does this influence our business model? Shall we switch from a product- to a project-focus? The technology stack empowers us to do both…knowing that this kind of two-sided marketing needs a careful positioning, especially in pricing and licensing.

But knowing that open innovation is the future of technology development we confirm our

Quantsourcing principle

Offer quant developers to do what we do. Make products or perform projects. For internal use or remarking. We deliver the know-how packages with technologies and the view behind the curtain provided by the UnRisk Academy.

With our new orientation you can develop, we can develop together, or we your name.

Whether you want to serve a specific market segment, special tasks or emphasize on a new deployment system…you/we can make alternatives to outdated valuation and risk systems.

Open and transparent, multi-model and -method, with comprehensive, bank-proof risk analytics…for maximum productivity.

Build or Buy? Buy and Build!

In future posts we will outline some atop UnRisk developments.

What's Customer Service For?

asks Seth Godin here…in his blog that inspired me so often to think deeper about business principles, marketing, promotion…His customer services options related to various business types are so amazingly well selected and described.

We are project people. And we make products. Each sales case is a project. This has consequences and I let our product manager, Michael Schwaiger, point them out. He's product manager, key developer and head of customer service, and the trick is, he speaks for the client project...

Happy Pi Day

In countries that write it that way, today's date is 3/14/15 which matches up with the first five digits of pi, 3.1415…at 9:26:53 the date and time matched up with the first 10 digits of pi, 3.141592653. As Jeffrey S. Rosenthal points out here there's even a more magic moment…BTW, the last Pi moment "better" than today, was 3/14/1592 at 6:53:58 (12 digits).

It's difficult to celebrate that pi instant moment, but the special pi day is celebrated. It won't happen again before 2115.

Pi is magical in the sense that the closer you look the more digits you see…forever…and its irrational (per mathematical definition) in the sense that there is no answer to the question: how often does the string "1415" repeat in the decimal fraction of pi?

Working with pi in practical quantitative systems you use it as symbol or put it into a box…use it precise "enough". But automated precision control in a complex algorithm needs a lot of knowledge about the transitiveness of inaccuracy of nested functions and operations…

The magic of irrational numbers is at the heart of each difficult, quantitative work. In general. You make a specification that puts a "box" around your future work. But the spec changes (in reaction to market dynamics) and you need more "digits"…

This is how we think at UnRisk…this is how we have designed it: quant developers and us always need more precision at speed, more models, more methodologies, more data…for more magic work.

Why New Regulation Will Hit Companies Hard...

explains this post at RBS Insight.
Corporates need to think carefully about how the long list of new rules will affect them, their banking relationships and their future access to liquidity and services. While many companies are not directly affected by regulations, the markets they use to access financing are. All companies will be affected in some way at a micro and macro level
Interesting to read that there seems to be a kind of Babylonian situation: subjects of regulations are differently interpreted in different territories - like FX forwards…

I understand that RBS is offering a partnership that helps internationally acting corporates to overcome a continued fragmentation of financial markets...

Our contribution: help those corporates that's derivatives transactions fall under the central clearing regulations…enabling them to evaluate the different offerings…

Ruckusmaker Day

Yesterday, we celebrated, what Seth Godin calls Ruckusmaker Day - in honor of the 60th birthday of Steve Jobs. I agree, more should speak more about their ideas.

We should talk about them, but we should not only be storytellers, but what Navi Modri  (and others?) call "storydoers".

This is why I wrote one day before the Ruckusmaker day: You're a Genius. We all have creative minds.  It's exciting to share...

You're A Genius

says WIRED in its Mar-15 issue of the UK Edition.
There's no magic behind creative thinking. You're born to do it. Keep asking: "why doesn't it work"…"what should I change to make it work"…Normal thinking is rich and complex - so rich and complex that it can yield extraordinary results
writes Kevin Ashton, spanning over evolution, philosophy, psychology, neuroscience…Two pages are about Steve Job's "secrets" (be never satisfied?)

Innovation makes our species different

Behavioral neurologists may say: yes, there are talents, but the neurological principles of creative behavior are the same among us - we all have creative minds. I agree. Creativity is a special class of problem-solving…characterized by difficulty, unconventionality, novelty…but it needs (some) competency and I ask: can you buy competency? Yes you can.

Wheels aren't hard to invent, are they? 

Original thinkers often look for adventure and start thinking not reading (eschewing algorithmic and technological fruits available). This is great for explorative learning, but it may reduce the value of the innovation - in quality or delivery time?

The innovative spiral drives faster if you push new, validated theorems...into the knowledge base and use them in a next turn. This white box - black box principle is very general, but especially powerful in quantitative fields.

What makes quant innovations work?

What are the units of quant innovations and what are their generic building blocks? IMO, the basic units are functions, the most important units are tasks. Functions create tasks…tasks create workflows and workflows create subsystems and subsystems create the system - the quant innovatio. The structure may be more sequential or nested. In quant finance it's quite nested.

It is my strong belief that a quant innovation does only work, if it is developed the bottom up fashion and that each unit has building blocks that are constructors, management of progressive problems (with critical moments), solutions and their interpretation.

Functions tune the mechanics of tasks, workflows, subsystems, the system and they are the "media" of actors. They define the coverage and the depth of the system. Their programming style shall be symbolic, functional…but their implementations shall combine symbolic and numerical computation.

Tasks have usually a time dimension and they move objects and actors. Tasks shall offer a clear shift (change) throughout its flow. Comprehensive tasks may be: financial market data selection, curation and import...model validation…instrument pricing with xVA...portfolio across scenario valuation... VaR calculations, stress tests…risk data analysis and aggregation…a task is a subject of event modeling…a task oriented language as well as the data  representation need to know events…again a symbolic language serves this requirement…

Workflows are responsible for the management of progressive problems. They may deal with the analysis, prediction or control of processes…in workflows we may use generic tasks like, "Create", "Select", "Apply"…Data, Instruments, Models, Parameters, Valuation Methods, Portfolios, Scenarios, Risk Factors

Subsystems and the system are created by workflows…sub systems are add-ons if they're built atop another subsystem (a platform).

This are the ideas behind UnRisk Quants. Develop a cascade of innovations that work and empower us unfolding creativity based on growing bank-proof systems, technologies…and make the same stack available to the most busy people in quant finance - quants.  Help them making their deadlines. Offer new kinds of insight partnerships.

Negative Interest Rates Are Here To Stay

wrote Frances Coppola at Piera a few days ago. In short, QE (and interest rate cuts) of major economic players force smaller countries to cut deposit rates into further negative territories. What I find convincing in the article:
I don’t buy the argument that households in the US, UK and European countries such as Spain and Italy have low saving ratios. They have low levels of liquid savings, yes – but they invest hugely in illiquid assets, particularly property, usually as a leveraged investment.
and finally
If the elderly actually spent their savings, rather than living frugally to preserve capital, the release of that money into the economy would be a demand stimulus that would both raise inflation and arrest falling interest rates. And if those saving for retirement risked their money in young, growing enterprises rather than seeking low-risk passive investments in mature industries, property and government debt, it might dampen the cycle of asset price booms and busts and reverse the long-term trend of interest rates. 
As business owners we know about financing a project: it does not matter where it comes from (equity or debt - Modigliani-Miller - you always sell parts of your future business) it matters where it goes to. This should be obvious for everybody, when interest rates are low.

And it's true for an economy as a whole. It may be the lack of innovative ideas, but if an economy is unable to find a more productive use of savings (or debt) than blowing up asset bubbles…interest rates will continue to fall.

It's turning the price logic: if, at the green market, carrots become too expensive, we buy other vegetables. If houses get expensive they become objects of speculation and prices rise until the bubble bursts…the economy as a whole does not optimize risk.

As I have pointed out on previous posts...I doubt that the regulatory regime of risk minimization by centralization will be the right contribution of the financial system, but it happens and we will get used to it.

As quant supporting technology providers we know that some widely used models bear operational risk in a regime of negative values. And we offer better approaches and insight:

The Theory of Speculation
Black vs Bachelier revisited
When Variance Is Negative
Negative Eigenvalues in Practical Finance
Libor and the Negative Eigenvalue Trap

whilst following the regulatory requirement of central clearing and counterpart as well as margin rules empowered by the xVA Engine.

It's all embraced in our brand-new UnRisk Quant

Consider looking into it…ask the authors of A Workout in Computational Finance directly:

Andreas Binder
Michael Aichinger

Negative interest rates are here to stay?!

Multiple Choice Buying?

This is the post at RBS Insight that surprised me: How retail technologies will help corporate treasurers.

It suggests that banks shall/will adopt a kind of "collaborative filtering algorithms"...successfully used by the online retail sector…to pitch new products to clients.

What is a collaborative filtering algorithm?

It's a method of making automated predictions about the interests of a user by collecting preferences from many users. If one shares a taste with others its more likely that she shares another taste too…is the basic idea behind.

If you listen too much to main stream, you create mainstream?

Collaborative filtering needs enough samples (user-item matrixes may become large and sparse), it looks into the past…so, although collaborate filtering can claim to achieve good diversity and independence, it may work the other way around in unpredictable cases - if you listen too much to mainstream, you create mainstream.

Is good for gadget buyers also good for corporate treasurers?

The traditional role of a corporate treasury embraces core functions…corporate finance, cash management, liquidity planning and control, procurement of financial investments…and increasingly important: management of interest, currency and commodity risk…and marginal functions that are extremely company specific.

IMO, senior management and board seek greater visibility to liquidity and risk exposures and better monitoring financial metrics on critical projects…this requires finding new ways to leverage treasury skills and technologies…maybe use things that are not in stock.

Yes, Steve Job said once: "...people don't always know what they want before you show it to them…" But how do we show complex system behavior and something that has not been described before?

Quant finance

Without using algorithms, you can't understand values and risk and engineer new financial instruments, but the success of treasury departments may need also quantitative methods to validate the major instruments they need…beyond collaborative filtering...

A treasurer's role may need to shift from being an asset guardian to a value creator…set the stage for successful investment and risk management, leverage technology and build quant finance skills.

We'll be pleased to help.

Banks pay for loans ?

It seems that not only borrowers speculated with their Swiss Franc loans. Banks did not include floors into their rate calculation for the loans. As the Swiss Franc reference rates go down banks have to pay interest to the borrowers. In Austria banks try to change the contracts but it is a legal dispute whether they are allowed to do so. If not these are some positive news for the borrowers who have been hit hard by the EUR-SFR exchange rate.

Superquant 2015

Beyond the Barricades is the title of the cover story of the Jan-15 issue of the Wilmott Magazine…it's about the recruitment outlook for quants in 2015…advocating for the ability to work and communicate well across disciplines.

In October 2014 I posted about the Antidisciplinary

In Beyond the Barricades Wilmott asked major recruiters a few questions….about increasing and decreasing opportunities, drivers, specifics of market segments, skill requirements…

Superquant by compliance or innovation?

The word that has been placed several times across the interviewees: "quant risk teams"…that, IMO, means that emphasis will shift from quant traders to risk quants…especially market risk modelers, operational risk modelers, (risk) model validation specialists…were mentioned.

From the many answers, I select two from London
The best-remunerated quant jobs will be the ones closed linked to regulatory coordination or model audit/governance (Anna Purves from Robert Walters)
The ability to combine programming with business-oriented responsibilities, creating new products working with clients…will be part of the big boom for 2015 (James Martin from Phaidon International)
Be compliant or innovative? The market within the space of quant finance seems to change very much and, pointedly speaking, I understand the above positions as two extremes: work along constrained tasks that are defined by somebody else or figure out what the new opportunities are? In short do the industrial or the lab work?

Gold Rush or modern mining?

As the Wilmott article states in its beginning hook
The days of the quant savant as the secret weapon of the front desk and proprietary operations are now long gone. The difference between pioneering days of the first rocked scientists arriving on Wall Street and the current situation is akin that between the first prospectors of the California Gold Rush and the modern mining industry
That happens with many businesses. Pioneers take the arrows and the settlers take the land…But in many industries quant skills are still seen as drivers for better outcomes.

Can the finance industry be defined as one that develops on the basis of retreating innovation? Meeting regulatory requirements alone?

Is it surprising that the Wall Street has got strong competitors when recruiting talents? Google...or even tech startups?

Our offer beyond productivity

Productivity? It's a measure of output over time.

You get more productivity by working harder or with more skill. Then you might find people who cost less for doing the assigned task. You may manage cooperate and build clever teams...

Then you may invest in technologies that boost the output of your teams…And then?

Then you may invent a new technology…it finally may empower you to define your own tasks. Those that make the change to the better in principle…those that make you a "hybrid quant"…combining programming with business-oriented responsibilities.

The final step may separate the extraordinary careers from the normal ones.
But it often requires a short downturn of your productivity.

Our offers are made to promote yourself by high level programming, regulation-compliant engines, multi-model approaches for new products…know how packages and transparency. Based on UnRisk Quant.

We wan to help pioneers to take the land and settlers to pay the rent.

About productivity, has been inspired by Seth Godin's blog post.