How can I be sure that the risk metrics are correct? Has it been validated?
The methods are correctly implemented to the best of our knowledge, and integrity/consistency is checked by the unit test suites in ORE. Moreover, the point of releasing ORE as open source is to encourage deep peer review to further harden the analytics. The question whether the ‘risk metrics are correct’ (adequate?) depends very much on the portfolio and risk management context, impossible to answer generally. In any case, we would like to make ORE grow and offer alternative approaches so that ORE analytics offering can be tailored to as many risk magement use cases as possible.