Deep Neural Net Applications in the Capital Markets: Real-time Calibration, Pricing and Risk-sensitivity Calculation
Deep Neural Net Applications in the Capital Markets: Real-time Calibration, Pricing and Risk-sensitivity Calculation
About this Event
In this webinar, we will present a demo showing how deep neural networks can be used to speed up calibration, pricing and risk-sensitivity computations, to the point that the front office has access to real-time P/L, P/L explain and risk sensitivities for portfolios of exotic derivatives.
We'll also discuss other use cases where fast DNN models are likely to have big impacts including XVA, FRTB and EoD operational risk reduction.
Looking ahead over the next 12 months, we discuss how AI and other technology development such as cloud computing could work together to drive RoC in capital markets, and the steps trading desks, quants and IT can start taking to effectively leverage these and many of the other recent developments in AI/ML.
Presenter: Ryan Ferguson: Founder and CEO at Riskfuel
Ryan is Founder and CEO at Riskfuel, a capital markets focused startup that is developing ultra-fast AI-based valuation technologies.Previously, Ryan was Managing Director and Head of Securitization, Credit Derivatives and XVA at Scotiabank. Prior roles have included credit correlation trading and managing the equity derivatives trading desk. Ryan began his career with positions in risk management and financial engineering. Ryan has a PhD in Physics from Imperial College, and a BASc and MASc in Electrical Engineering from the University of Waterloo.
