The financial crisis of 2007-2008 has shown how risks that have been underestimated can materialise rapidly and cause problems even for established financial institutions. Many of these problems are due to the usage of outdated and insufficient risk models that cannot deal with extreme risks adequately.
The LBRM software greatly improves the analysis of and hedging against extreme risks, while reducing feedback cycles from days to seconds, allowing risk exploration in real time. LBRM is based on a novel algebraic approach to risk modelling in which the models of individual positions are aggregated to the portfolio level in such a way that previously hidden network effects become visible.
The founding team of LBRM consists of Dirk Schulte, Dr. Christian Hoffmann and Dr. Jann Müller (HPI alumnus) and is funded by a government grant and supported by the University of Mannheim. LBRM GmbH was founded in December 2017.