The FRTB-IMA computational challenge for Equity Autocallables

Mariano Zeron, Meng Wu and Ignacio Ruiz

Papers from arXiv.org

Abstract: 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.

Date: 2023-05, Revised 2025-03
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2305.06215 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:2305.06215

Access Statistics for this paper

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