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FREE WEBINAR: Chebyshev Spectral Decomposition for Ultra-efficient Risk Calculations

 
00:00

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

Topic

XVA & Risk Management

Published date

25 November 2017

Price

£0.00

Presenter Bio

Ignacio Ruiz

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