The Alfred P. Sloan Foundation awarded Stevens Institute of Technology a grant to work on the proposal entitled "Creating a standard language for financial contracts and a contract-centric analytical framework", called project ACTUS. Dr. Brammertz is the CTO of project ACTUS.The standard follows the theoretical groundwork laid down in the book "Unified Financial Analysis". The goal of this project is to build a financial instrument reference database that represents virtually all financial contracts as algorithms that link changes in risk factors (market risk, credit risk, and behavior, etc.) to cash flow obligations of financial contracts. This reference database will be the technological core of a future open source community that will maintain and evolve standardized financial contract representations for the use of regulators, risk managers, and researchers. The objective of the project is to develop a set of about 30 unique contract types (CT’s) that represent virtually all existing financial contracts and which generate state contingent cash flows at a high level of precision. The term of art that describes the impact of changes in the risk factors on the cash flow obligations of a financial contract is called “state contingent cash flows,” which are the key input to virtually all financial analysis including models that assess financial risk.
Dr. Brammertz talk will describe the state of ACTUS and its potential impact on financial data quality and risk practices.
Over the course of 25 years, establishing a common analytical infrastructure for the financial industry has been the central theme of Dr. Brammertz’s career. Standardized financial contracts with well-defined cash flow characteristics are the core concept of this enterprise and were described in his doctoral thesis which was published in 1991. Based on this work he was awarded a PhD in Economics by the University of Zurich summa cum laude. Dr. Brammertz and his partner Dr. Jürg Winter formed Iris (Integrated Risk Management ag) in Zurich Switzerland, which then commercialized these concepts in a software product called RiskProTM successfully deployed in more than 200 banks in 22 countries. RiskProTM. He currently teaches his book Unified Financial Analysis at ETH, Zurich. Currently, Dr. Brammertz is the CTO of project ACTUS a new software implementing and aiming at Unified Contract Type Unified Standards and the President of Brammertz Consulting.