Open Source Risk Management Software

From Open Risk Manual

List of Open Source Risk Management Software

A preliminary list of projects (both big and small) that adopt the open source licensing model in the development of software relevant for risk management. The scope of the list is roughly speaking the domain of practice commonly denoted as Quantitative Risk Management.

In order to keep the list finite:

  • it does not include general purpose open source projects (e.g. Python Scipy / Scikit etc.) even though they might be essential dependencies
  • does not include broader finance / infrastructure projects (e.g. pricing libraries, blockchain etc), again even if those may be essential dependencies
  • does not include projects that are exclusively spreadsheet implementations (does not fit the concept of a well defined and maintainable piece of software, even if some spreadsheets may encode very sophisticated models)

The list does not include (yet) smaller libraries solving very specific problems. We envisage to add those in due course, especially via contributions!

See Also

The focus of this list on open source code/models/algorithms. Data resources useful for building / calibrating open source models are listed in Open Risk Data. You can help us maintain this list up-to-date by submitting additions / corrections (Use info at openrisk eu). Submissions should have a publicly accessible URL (link) in one of the public repositories hosting open source projects.


This list of Open Source Risk Management Software is provided as-is without any implied endorsement or validation of the suitability, originality, accuracy or completeness of said resources for any purpose.

Open Source Risk Management Software
1. Name 2. Description 3. Language 4. URL
Pyliferisk A python library for life actuarial calculations Python github
ESGtoolkit Tools for Economic Scenario Generation R github
GVARX Estimation and inference of stationary Global Vector Autoregression models R CRAN
QuantEcon Open source code for quantitative economic modeling Python, Julia github
GaR IMF Growth at Risk Model Python, Excel github
GVAR Global VAR modeling matlab Sourceforge
PSCF Public Sector Credit Framework C++ github
CCruncher Open-Source Project for Credit Risk Modeling R sourceforge
pyfolio A Python library for performance and risk analysis of financial portfolios Python github
RiskNetwork Bayesian Network approach to Project Risk Management R github
Open Source Risk Engine A transparent peer-reviewed framework for pricing and risk analysis C++ github
OpenGamma/Strata Open source analytics and market risk library from OpenGamma Java github
Open Risk API An application programming interface for risk quantification Python, C++ github
xVA Calculates Credit Risk Valuation Adjustments R github
SACCR R package implementing the SA-CCR Basel III Regulation R github