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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

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2 results for “FRTB-IMA”

The FRTB-IMA computational challenge for Equity Autocallablesq-fin.RM

Chebyshev technique reduces FRTB-IMA equity autocallables computation costs by 90%.

problem Efficient computation of FRTB-IMA capital for equity autocallables.

method Orthogonal Chebyshev Sliding Technique applied to equity autocallables.

result Computational cost reduction of about 90% for equity autocallables.

FRTB-IMA Chebyshev Equity Autocallables Capital Calculation Computational Efficiency

2023-05-10abs ↗pdf ↗

Denting the FRTB IMA computational challenge via Orthogonal Chebyshev Sliding Techniqueq-fin.RM

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 computation…

2019-11-25abs ↗pdf ↗