Market Risk Measurement.
Regardless of whether your risk measurement is regulatory driven or based upon the desire for efficient risk capital allocation - this tool helps you reaching your risk management goals with a full valuation framework for stress testing and Value at Risk calculation.
Fast, lightweight, and published under the GPL.
Tutorial
Everything you need to know for installation, adjusting input files, setting up your own stress tests and starting risk calculation.
Documentation
Start digging into the details of octarisk. The user and developer manual is available as pdf file or online.
Download
Check out the latest code directly from Github - or you download the latest release in a zip file.
» Link to Github » Link to latest release
Comments, Questions, Contribution?
Feel free to write an e-mail or collaborate by committing improved or new code.