Sometimes, the 'standard' average doesn't take into account the scale or importance between the things being averaged. Enter weighted averages. Consider the following situations: a vendor sets the price for their wares as 10.00USD per unit for 9 or fewer units, 9.50USD per unit for 10-99 units, and 8 USD...
Currency conversion with atoti
Currency conversion is important. In an ever increasingly globalized world, businesses are more likely to record transactions in multiple currencies: a freelancer may charge according to the local currency of their latest project; a sales firm might send a team to potential clients in another country, and have to reimburse...
Faster Algorithm for FRTB SBM Risk Aggregation
Building regulatory risk application with Python and atoti In this post, I want to discuss a faster approach to compute the variance-covariance formulas present in financial regulatory capital models - FRTB SBM and CVA Risk Framework - as well as ISDA SIMM and internal sensitivity-based VaR-type models, and illustrate this...
Real-time risk analytics with atoti
Streaming and monitoring the most granular risk data UPDATE: The GIFs and code snippets in this article are based on versions prior to atoti 0.7.0. They may have evolved or become obsolete. Check out the atoti documentation for the latest features. The finance industry works by constantly evaluating the risks associated with...
Rapid collateral modelling and simulation with atoti
You walk into a pawnshop with a precious Patek Philippe watch you inherited from your father that is worth around $80,000. The pawnbroker looks at the watch and makes an offer of $64,000 with a 1.5% interest rate. You take up the offer and the pawnbroker takes over your watch....