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Quantitative Finance Insights

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Whitepaper Commodity, FX and Interest Rate

White Papers

Commodity, FX and Interest Rate Volatility

Learn how CFOs and corporate treasurers can measure, manage, and communicate Cash Flow at Risk (CFaR). This white paper covers quantification, hedging, hedge accounting, governance, and board reporting with practical …

News

Quantitative Precision meets Treasury Practice

UnRısk partners with YourTreasury to bring quantitative risk analytics directly to corporate treasury teams.

Use Cases

RCM Risk Analytics

How Raiffeisen Capital Management built and runs its own market risk system for 20+ years.

Use Cases

Moody´s Analytics processes billions of valuations

How Moody´s Analytics Processes 1.47 Billion Monthly Valuations About Moody´s Analytics Moody’s Analytics provides financial intelligence, risk management software, and data services for financial instituti-ons and corporations.

Thumbnail of the Video PRIIP KID calculations for structured Products

Videos

PRIIP KID Generation – Accurate, Automated, and Audit Ready

Accurate, Automtated, and Audit Ready

Screenshot of the PRIIP Checklist with black background

News

PRIIPs Checklist

Why this Checklist? Regulatory changes, new calculation rules, and complex scenarios make PRIIP and KID creation a demanding process. What’s inside the Checklist When and under which conditions a KID …

A chart on a tablet, with three icons in the foreground

News

10 PRIIP KID Mistakes

Creating PRIIP KIDs is a complex task that requires precision, consistency, and scalability. Yet many firms continue to struggle with avoidable mistakes that affect both quality and compliance.

Video Valuing a fixed rate bond with UnRisk Excel

Videos

Valuing a Fixed Rate Bond with UnRısk EXCEL

Learn how to calculate the present value of a fixed rate bond in Excel using UnRisk for Excel. This tutorial walks you through each step, from entering bond details to …

Video Nominal curve construction with UnRisk Excel

Videos

Building a Nominal Yield Curve with UnRısk EXCEL

This video shows how to build a nominal yield curve in Excel using UnRısk and market bond data. It’s a hands-on walkthrough using real UK gilts and Excel’s familiar tools.

Wooden gears of various sizes that mesh together

Use Cases

Create and Manage PRIIP KIDs

Hypo Tirol Bank has over 100 years of experience in serving institutions and private clients. Hypo Tirol Bank focused on serving retail and corporate customers with a strong presence in …

A chart in the background with overlay text: PRIIPS

News

PRIIP Regulation Part 1

The PRIIPs regulation and, consequently, the obligation to compile PRIIPs key information documents, sometimes using complex mathematical calculations, has been a major concern of financial service providers and, in particular, …

News

ISO/IEC 27001

Information security is part of how we work. We support teams that manage serious responsibilities. As a risk manager, credit analyst or compliance officer, you work with sensitive data every …

Screenshot of the UnRisk Excel software interface on a screen with the text: Now available: The new UnRisk EXCEL

News

Advanced Risk Analysis with the new Version of UnRısk EXCEL

The new Microsoft Excel add-in integrates advanced quantitative finance capabilities directly into Excel, enabling robust valuations and risk analyses for all Excel users, without any coding required.

News

Risk modeling mistakes

Risk models are central to financial decision-making and regulatory compliance. Yet even sophisticated frameworks can fail – not because of complex mathematics, but due to avoidable assumptions, oversights, or misapplications. …

White Papers

Optimizing Complex Financial Product Valuation

Advanced numerical methods have become indispensable for accurately modeling complex financial instruments and effective risk management. This guide provides insight into some of the key numerical techniques that are established …

News

London Society Meeting

Join Dr. Jamie Ballin from UnRısk at the London Society Meeting 2024 for an insightful session on 'Navigating the Complexity of Fintech Application Development: Effective Strategies for Smooth Integration.'

News

Highlights and Innovations

Read about UnRısk's most recent developments and enhancements to our frameworks, as well as innovative solutions for current financial market demands.

Businessperson working on a laptop. Various charts visible as an overlay.

News

Dupire Model Calibration

On the basis of market prices of a series of liquid vanilla options, we calibrate a Local Volatility option pricing model, which can be used to compute the prices of …

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Technical Papers

Valuation of Equity FX Instruments

This technical paper outlines the valuation methodologies for various Equity and FX instruments within the UnRısk framework.

Hologram of various charts and statistics

Technical Papers

Valuation of Credit Default Swaps

This technical paper provides a detailed methodology for the valuation of Credit Default Swaps (CDS) within the UnRısk framework.

Technical Papers

Valuation of Convertible Bonds

This technical paper presents methodologies for valuing callable and putable convertible bonds using advanced numerical techniques within the UnRısk framework.

Blurred laptop in the foreground. Businessperson with tablet and pen in the background.

Technical Papers

Valuation of Interest Rate Instruments

This technical paper outlines various methodologies for the valuation of interest rate instruments within the UnRısk framework.

Business people working on their tablets at a desk

Technical Papers

Calibration of Interest Rate Models

The technical paper discusses the calibration of various interest rate models, focusing on one-factor and two-factor models by Hull & White, as well as the Black Karasinski model.

Technical Papers

Calibration of Equity Models

This technical paper explores the calibration of equity models, focusing primarily on the local volatility surface and the Heston stochastic volatility model. It addresses the limitations of the Black-Scholes framework, …

Mathematical function f(x) written on a blackboard

Technical Papers

Numerical Methods in UnRısk

This technical paper explores the numerical methodologies employed in the UnRısk framework, focusing on adaptive integration and streamline diffusion. The document initially introduces the adaptive integration techniques applied in option …

Pen pointing at a piece of paper with a chart

Technical Papers

Parameter Estimates

This technical paper presents a comprehensive methodology for estimating the parameters required for pricing quantos and convertible bonds under two-factor models.

White Papers

Arming David

In an environment of increasing regulatory demands and growing complexity of financial instruments, small and medium-sized capital management institutions (CMIs) face significant challenges.

White Papers

How To Kill Your Trees

The White Paper provides a detailed exploration of the limitations and inefficiencies of tree-based numerical methods, particularly binomial and trinomial trees, in the context of computational finance.

White Papers

A Clever Handful is Enough

The White Paper titled "A Clever Handful is Enough" by Andreas Binder examines the principal component analysis (PCA) of interest-rate changes and its application in quantitative risk management, particularly for …

White Papers

Calibration problems – An inverse problems view

The White Paper titled "Calibration Problems – An Inverse Problems View" by Heinz W. Engl explores the challenges associated with calibrating financial models, particularly focusing on the calibration of parameters …

White Papers

Finite Elements and Streamline Diffusion for the Pricing of Structured Financial Instruments

The document titled "Finite Elements and Streamline Diffusion for the Pricing of Structured Financial Instruments" by Andreas Binder and Andrea Schatz explores advanced numerical techniques for pricing complex financial instruments.

Newspaper clipping with the headline Advance to Go

White Papers

UnRısk Advance To Go

The document titled "Advance to Go" provides an overview of the development and deployment of the UnRısk FACTORY 1.0, a comprehensive risk analytics platform designed by the UnRısk Consortium, a …

Use Cases

Risk Assessment in the Investment Business

Swiss Bank rates investment products and assesses their collateral value with the PRC solution of UnRiskOmega

Man at a desk looking at a tablet displaying various statistics

Use Cases

Risk Management in the Finance Industry

Solventis offers comprehensive risk management services to the Spanish finance industry based on the UnRısk Framework

News

UnRıskOmega: Combined Expertise for the Financial Industry

UnRıskOmega is a cooperation of the four companies multilateral AG, mathlink GmbH, uni software plus GmbH and MathConsult GmbH. Each of the four companies has profound experience in its own …

News

A Workout in Computational Finance

The intention of the book is to give a sound overview on numerical methods which are used or which should be used in computational finance, where we understand “computational finance” …