Denting the FRTB IMA computational challenge via Orthogonal Chebyshev Sliding Technique

Mariano Zeron-Medina Laris and Ignacio Ruiz

Papers from arXiv.org

Abstract: 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.

Date: 2019-11, Revised 2020-12
New Economics Papers: this item is included in nep-cmp
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://arxiv.org/pdf/1911.10948 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1911.10948

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().