3 papers
q-fin.RM2019
Denting the FRTB IMA computational challenge via Orthogonal Chebyshev Sliding Technique
Mariano Zeron-Medina Laris, Ignacio Ruiz
In this paper we introduce a new technique based on high-dimensional Chebyshev Tensors that we call \emph{Orthogonal Chebyshev Sliding Technique}. We implemented this technique ins…
q-fin.RM2018
An Enhanced Initial Margin Methodology to Manage Warehoused Credit Risk
Lucia Cipolina-Kun, Ignacio Ruiz, Mariano Zero-Medina Laris
The use of CVA to cover credit risk is widely spread, but has its limitations. Namely, dealers face the problem of the illiquidity of instruments used for hedging it, hence forced…
q-fin.RM2018
Chebyshev Methods for Ultra-efficient Risk Calculations
Mariano Zeron Medina Laris, Ignacio Ruiz
Financial institutions now face the important challenge of having to do multiple portfolio revaluations for their risk computation. The list is almost endless: from XVAs to FRTB, s…