Algorithmic Contract Types Unified Standards
At a glance
- Project leader : Prof. Dr. Wolfgang Breymann
- Project team : Nils Andri Bundi, Marc Weibel, Alexander Zahnd
- Project budget : CHF 150'000
- Project status : completed
- Funding partner : Internal , Foundation
- Project partner : ODED, Stevens Institute of Technology
- Contact person : Wolfgang Breymann
Description
The financial crisis of 2008 made clear that neither financial industry executives nor regulators had the data or analytics to understand the crisis as it emerged. As a response, the ACTUS project is establishing a global data standard for the representation of financial instruments to support forward-looking financial analysis of granular transaction and position data.
The ACTUS project is building a reference database that represents virtually all financial contracts as algorithms that link changes in risk factors (market risk, credit risk, and behavior, etc.) to the expected cash flow obligations of financial contracts. This database will consist of a set of 30 unique Contract Types (CTs) that will faithfully represent virtually all existing financial obligations. Their key feature is that they will generate state contingent cash flows at the individual contract level with a high level of precision. “State contingent cash flows” is the term of art used to describe the impact of changes in risk factors on the expected cash flow obligations of a financial contract. They are of critical importance because they are the starting point for practically all financial analysis, including assessment of financial risk. This reference database will be the technological core of the ACTUS Financial Research Foundation, a non for profit organization that will maintain and evolve the standardized financial contract representations for the use of risk managers, practitioners, regulators, and researchers. The library itself will be made available under an open source license.