Denting the FRTB‐IMA Computational Challenge via Orthogonal Chebyshev Sliding Technique

Autor:	Mariano Zeron Medina Laris, Ignacio Ruiz
Rok vydání:	2021
Předmět:	Front office business.industry Computer science Capital (economics) MathematicsofComputing_NUMERICALANALYSIS Mathematical properties Order (ring theory) Applied mathematics business Chebyshev filter Risk management
Zdroj:	Wilmott. 2021:74-93
ISSN:	1541-8286 1540-6962
DOI:	10.1002/wilm.10907
Popis:	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 inside the systems of a tier-one bank, and used it to approximate Front Office pricing functions in order to reduce the substantial computational burden associated with the capital calculation as specified by FRTB IMA. In all cases, the computational burden reductions obtained were of more than $90\%$, while keeping high degrees of accuracy, the latter obtained as a result of the mathematical properties enjoyed by Chebyshev Tensors.
Databáze:	OpenAIRE
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