After 247.500 Hours Developing UnRisk...

we've announced UnRisk Quant. But it's not yet another announcement.

I recall the very beginning…the decision to make UnRisk PRICING ENGINE after some amazingly successful quant finance projects - 2001. Or 2008 when we launched our flagship platform the UnRisk FACTORY.

But things have changed drastically. The new regulatory regime of centralization and standardization may not only lead to revenue compression of derivatives businesses, but also change the roles of quants fundamentally. Instead of "structure me this" or "optimize me the market risk of that portfolio" they will need to manage massive data and valuations diving deep into the institutions information system?

The open workload of quants may become horrible and their race at the critical path of no avail?!

With UnRisk-Q we've unleashed the programming power behind UnRisk. It became an indispensable add-on for our clients that individually post-process the comprehensive risk data of the UnRisk FACTORY. It stretched our business. Consequently, we didn't push it hard,

Help quants leverage their work  

We believe hot creativity and not frozen standards will heel the feverish financial systems. Quants have it.  We decided therefore to offer them a fundamentally new partnership. The foundation is UnRisk Quant in a license form including free updates and application support by our key developers.

We'll also provide know how packages by the UnRisk Academy heads.

Savor or save?

We're too small to change the big decisions, but we decided to help quants suffering less from constraints…We're lucky to have only few constraints when making our decisions…do the important or the profitable is not the same.

This is what we've decided:
  • Help the most busy people in quant finance - quants
  • Move fast when making decisions - listen less to focus groups, but quants
  • Help quants making their deadlines - its developed for maximum quant productivity
  • Trade up on trust - by telling the truth, full transparency, unprecedented quick response...
With UnRisk Quant you program in a high level Financial Language implemented in high performance valuation and xVA engines, scenario simulators, a VaR Universe…

Mail now to Michael Aichinger…the response may surprise you...

What I think About Machines That Can Think

What Do You Think About Machines That Think? is the 2015 Edge question. (Maybe) in reply to Stephen Hawkins' warning: "The development of full AI could spell the end of the human race".

The first contributors and responses can be found here.

The following view is shaped by 15 years of practical project experience with AI tools:

I think, the real questions behind are

"…..About Machines That Think Like Us?"

"Is building a thinking machine possible?" and if yes "how far from thinking are machines we can build in the near future?".

"Should thinking machines be built at all?"

I have no doubt that thinking machines are possible (when a combinations of chemicals can do it, why not silicon...?)


AI - the future that never happened by now.

The idea has a long tradition: computerized systems are people and there is a strong relation between algorithms and life,,,

First…the top down expert system thinking of AI..."died".

Then…"Artificial Life" promised to create intelligent creatures by genetic programming…it works well fur less ambitious objectives.

Now…because we have neurons intelligent machines need to have them too…our brain has an enormous capacity…to make AIs we only need to combine massive inherent parallelism, massive data management and deep neural nets…?

However, our objects of desire - universal machines that think like us - are, IMO, far away.

Summarizing, I'm in the camp of people who believe that machines that think can complement us doing things better for a better society. But it depends on what they are supposed to be thinking about.

What I fear: that we try to teach people to behave like machines - if we think like machines, it will be easier for machines to think like us?!

IMO, AI is a set of techniques of mathematics, engineering, science…not a post human species. Not only in finance, economy…behavior must be quantified and knowledge made computational...

The Age of Unicorns - But not in Austria

"The billion-dollar tech startup was supposed to be the stuff of myth. Now they seem to be … everywhere."

I read this sentence in an article about startups and their valuation in an article in Fortune . The article is about start ups worth one billion or more and they state, that today the technology industry is crowded with billion-dollar startups. Reason is the availability of venture capital. Many of these startups will vanish in a short period of time. But some of them will be the next Google, Amazons and Facebooks driving the technology further and doing a lot of fancy things.

The same day I have read an article in the Austrian newspaper Der Standard. The article claimed, that  Austria, although a rich country, is only on the 20th place in Europe when it comes to financing using risk capital. I ask myself how we can close the gap for high level technologies if neither the public nor the private sector is willing to take some risks in financing innovation. It is typical for Austrians to abhor risk, but this fact, combined with a year long deadlock in Austrian politics is driving us  downwards the innovation spiral.

Financial Fast Food

Andreas' posts on the Swiss Franc, particularly the previous one made me thinking whether this is just a derailment? OK, the official Vienna approach looks like a (confessed) Ponzi scheme…but in general?

Are loans consumed in masses like fast food?…The lower the interest rate the better? Whatever is behind, who cares about the underlying ingredients, the recipe, the heat…? It's for 1 not for 1.8?

Health and Wealth are fragile...right?

Mark to Market or Not Mark to Market?

The City of Vienna (which is also a federal state of Austria) has outstanding loans not only denominated in EUR, but also a significant portfolio of CHF loans (more than 1.5 billion EUR, as of end of the year 2014). With the increase of the CHF value compared to the EURfrom last weak, the present value increased by 300 million EUR.

Maybe surprisingly for non-Austrians, the treasurer of Vienna, Renate Brauner, stated that this increase in outstanding debt is only for accounting. Outstanding loans could be rolled over to new credit lines in CHF. If CHF in the future goes down somewhen, then this increase in debt will disappear again.

It's a kind of magic, isn't it?

Oh Switzerland, What Have You Done?

This is the title of a Forbes Commentary by Frances Coppola.

Did the ECB tell the SNB to remove the cap in order to clear he way for ECB Quantitative Easing?

Appellate Court Confirms Wystup as Expert Witness

Recently, the appellate court (Oberlandesgericht Wien) decided on the City of Linz' claim that Uwe Wystup, named as expert witness in the Swap 4175 trial, would be biased. The claim was declined and Wystup was confirmed.

Furthermore, it was decided that Linz has to present (to the court) minutes of the supervisory board of its real estate company (Immobilien Linz GmbH). The court wants to clarify if there have been discussions on swaps within this supervisory board.

In the shadow of the Swiss Franc

In the shadow of the turmoil about the Swiss Franc, the Chinese stock markets had a real bad start into the week. The stocks plunged due to planed bans for certain finance products by the Chinese regulators. At one point Monday, the Shanghai Composite Index was down 8.3 percent. It later trimmed that to a loss of 7.7 percent. Although Monday's fall was quite dramatic investors in other markets see the situation peculiar to China.

Has the Rise of the Swiss Franc Consequences for the Linz Swap?

With the increase of the Swiss Franc to the EUR (according to the Universal Currency Converter the exchange rate today in the morning is 1 EUR = 1.00078 CHF), we may ask if this has consequences for the Swap 4175 trial.

We recapitulate that in this swap 4175, Linz agreed to pay an annual interest rate of (1.54 - FX)/FX with FX being the exchange rate between CHF and EUR. With the current situation of markets, this would mean an interest rate of 53.88 percent. 

Now the good news for Linz: With the claims and counterclaims formulated in 2011, the swap was closed and market changes thereafter do not influence the sum to be disputed at court.

I will write on the bad news tomorrow.

Swiss National Bank removes cap

Yesterday, the Swiss National Bank decided to remove the cap of 1.2 CHD for 1 EUR that was introduced during the 2011 EUR crisis.

Consequently, the EUR dropped by 15 percent. Swiss exporters are facing difficult times now, and the Swiss exchange index dropped by 8.67 percent.

This seems to be still a good business for EUR investors to invest in Swiss companies. (At least if you had known it in advance).

The Brand New UnRisk Quant Rolls Out

We haven't posted for a while. It's not that we are tired…not at all, we'll restructure it for your benefit.

UnRisk Insight will continue, but become more focused and current and a new "UnRisk Magazine" Blog will delve even more into UnRisk's capabilities and internals.

And, we've managed to create new products exploiting our technology stack.

This the first announcement:

UnRisk Quant rolls out

Considerable changes in banking regulation are forcing financial institutions to change operating regimes. This has, in particular, an impact on the work of quants, who will find themselves even more as racers at the critical path. 

From pricing to risk management, from front to back office: xVA is a cross-sectional matter. The need for comprehensive exposure modeling, the inclusion of margins and the introduction of central clearing lead to a much higher complexity in valuation and risk management and will therefore impact future quant work fundamentally.

UnRisk has invested 150 person years of development time to build a solid technology stack upon which quants can swiftly build systems reacting to new requirements. Bank-proof mathematics, the most advanced numerical schemes combined with elegant ways to manage massive data, enables quants to step up to the plate.

Developed for maximum productivity, UnRisk Quant comes with 8 computational kernels, includes a high level programming interface that shortens development cycles and includes numerical engines for valuation, risk management and xVA calculations. 

All that comes for the remarkable price of 9.960,00 Euros per year, positioniong the product on the top regarding the value for cost ratio.

Consider ordering? - Mail to Michael Aichinger