White Paper 03, Introducing the Open Risk API

Open Risk White Paper 3: Introducing the Open Risk API

Linked Models

We develop a proposal for an open source application programming interface (API) that allows for the distributed development, deployment and use of financial risk models. The proposal aims to explore the following key question: how to integrate in a robust and trustworthy manner diverse risk modeling and risk data resources, contributed by multiple authors, using different technologies, and which very likely will evolve over time.

The proposal builds on two key modern technological frameworks, Semantic Data and RESTful API’s, which in turn are both examples of rapidly adopted and evolving Web technologies. We review the motivation for such an infrastructure, the concepts and tools that can enable such a design and various related initiatives. We describe in detail the current version of the API specification.

For definiteness, we illustrate the concept with an open source implementation that takes a use case from the analysis of credit risk in loan portfolios. The implementation consists of demo model and data servers and clients implemented using Python and MongoDB.


(Download OpenRiskWP03_053115)

Source Code


 author = {Oyvind Foshaug, P. Papadopoulos},
 year = {2015},
 note = {\href{https://www.openriskmanagement.com/wp-content/uploads/2016/02/OpenRiskWP03_053115.pdf}{Download URL}},
 title = {{Open Risk WP3: Revisiting Simple Concentration Indexes}},
 journal = {Open Risk White Papers}