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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2023
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2305.06215 |
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| _version_ | 1866908284433203200 |
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| author | Zeron, Mariano Wu, Meng Ruiz, Ignacio |
| author_facet | Zeron, Mariano Wu, Meng Ruiz, Ignacio |
| contents | When the Orthogonal Chebyshev Sliding Technique was introduced it was applied to a portfolio of swaps and swaptions within the context of the FRTB-IMA capital calculation. The computational cost associated to the computation of the ES values - an essential component of the capital caluclation under FRTB-IMA - was reduced by more than $90\%$ while passing PLA tests.
This paper extends the use of the Orthogonal Chebyshev Sliding Technique to portfolios of equity autocallables defined over a range of spot underlyings. Results are very positive as computational reductions are of about $90\%$ with passing PLA metrics.
Since equity autocallables are a commonly traded exotic trade type, with significant FRTB-IMA computational costs, the extension presented in this paper constitutes an imporant step forward in tackling the computational challenges associated to an efficient FRTB-IMA implementation. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2305_06215 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | The FRTB-IMA computational challenge for Equity Autocallables Zeron, Mariano Wu, Meng Ruiz, Ignacio Risk Management Computational Finance When the Orthogonal Chebyshev Sliding Technique was introduced it was applied to a portfolio of swaps and swaptions within the context of the FRTB-IMA capital calculation. The computational cost associated to the computation of the ES values - an essential component of the capital caluclation under FRTB-IMA - was reduced by more than $90\%$ while passing PLA tests. This paper extends the use of the Orthogonal Chebyshev Sliding Technique to portfolios of equity autocallables defined over a range of spot underlyings. Results are very positive as computational reductions are of about $90\%$ with passing PLA metrics. Since equity autocallables are a commonly traded exotic trade type, with significant FRTB-IMA computational costs, the extension presented in this paper constitutes an imporant step forward in tackling the computational challenges associated to an efficient FRTB-IMA implementation. |
| title | The FRTB-IMA computational challenge for Equity Autocallables |
| topic | Risk Management Computational Finance |
| url | https://arxiv.org/abs/2305.06215 |