Complimentary webinar: Chebyshev Spectral Decomposition for Ultra-efficient Risk Calculations by Ignacio Ruiz

Chebyshev Spectral Decomposition for Ultra-efficient...

Complimentary Webinar: Chebyshev Spectral Decomposition for Ultra-efficient Risk Calculations

Thursday, 23 November 2017 from 17:00 to 18:00 (GMT)

Presenter: Ignacio Ruiz: Founder & CEO, MoCaX Intelligence

Ignacio Ruiz (Machine Learning)

Chebyshev Spectral Decomposition for Ultra-efficient Risk Calculations

  •  The power of Chebyshev – MoCaX as a Smart interpolation scheme
  •  Selection of interpolating points and functions
  •  Chebyshev nodes and Chebyshev polynomials in the context of Risk Calculations
  •  Theoretical basis: three fundamental theorems
  •  Example: Parametric Chebyshev interpolation for Risk Calculations
  •  Practical cases studies:
    • CVA
    • CVA on exotics
    • Cost effective IMA-FRTB (passing P&L Attribution tests!)
    • Dynamic Initial Margin
    • Accurate MVA
    • Ultra-fast XVA sensitivities
  •  Commercial benefits: reduction of hardware costs, effective computation of risk metrics, hedging regulatory risk
  •  Generic AAD via Chebyshev Decomposition

Register free on Eventbrite