Join the pre-conference workshop led by Alexander Sokol
Monday, 10 July 2017, Downtown Conference Center in New York
Monday, 10 July 2017, Downtown Conference Center in New York
Leif Andersen, Michael Pykhtin, and Alexander Sokol are proposing a minor change in CSA that will reduce the residual counterparty risk under IM by aligning trade payments with reciprocal margin payments. Read the original article in Risk and the editorial by Nazneen Sherif
Alexander Sokol explains how AAD can alleviate the computational pains of FRTB in the long awaited Risk FRTB Special Report published by Risk.Net.
Why CompatibL?
CompatibL is at the forefront of the financial industry providing software solutions and consultancy services for XVA, regulatory capital and limits. CompatibL has over 200 experienced developers and financial engineers and boasts
a client base of over 50 banks, central banks, supranationals and asset managers in the US, EMEA and Asia, including four out of the five largest derivatives dealers. Over 70 major projects have been implemented across this client
base.
Company introduction
CompatibL offers turnkey solutions for XVA and regulatory capital as well as full support, implementation and customisation services by experienced XVA quants and development teams.
Overview
Overview
CompatibL Risk software
An advanced software platform for XVA, capital, initial margin and regulatory calculations, using a choice of CompatibL engine, in-house or external analytics.
Highlights
AAD in the Risk application
Highlights
AAD in the Risk application
Quantitative Consultancy
CompatibL’s quantitative research team led by Alexander Sokol has a track record of constructing valuation and risk models used by over 350 banks and asset managers in 25 countries
More
More
Libraries
TapeScript is an open source library for adjoint algorithmic differentiation (AAD) developed and maintained by CompatibL.
TapeLib is a commercial library extending TapeScript with features specific to quantitative finance and large scale AAD programming.
Services
CompatibL provided integration and implementation services for multiple in-house systems and leading vendor solutions as well as bespoke project work
Details
Details
Quantitative Research
Our quantitative research team with Alexander Sokol at the head is actively involved in scientific research and field-specific activities.
Leading Publications
Leading Publications
CompatibL wins prestigious 2017 Risk Award
Image © Natalie Davies
CompatibL has been named the winner of the 2017 award for Specialist Market Risk Technology Vendor.
26 January, 2017
CompatibL partners with Risk.net Magazine for Risk FRTB Special Report
Together with leading Market Risk experts, Alexander Sokol and Nick Haining voice their thoughts on AAD and FRTB.
Together with leading Market Risk experts, Alexander Sokol and Nick Haining voice their thoughts on AAD and FRTB.
26 September, 2016
Risk.net quotes Alexander Sokol on the reality of Initial Margin's impact on Credit Exposure
CVA models may miss half of true default risk with the benefits of initial margin also overstated, new research finds
CVA models may miss half of true default risk with the benefits of initial margin also overstated, new research finds
12 August, 2016
New paper explores Credit Exposure in the Presence of Initial Margin
Alexander Sokol, Michael Pykhtin and Leif B. G. Andersen explain why the theoretical application of Dynamic Inital Margin differs from real-life collateralization
Alexander Sokol, Michael Pykhtin and Leif B. G. Andersen explain why the theoretical application of Dynamic Inital Margin differs from real-life collateralization
22 July, 2016
Vector AAD for Large Portfolios: Applications to XVA, FRTB, Dynamic IM, and KVA/MV
Download the latest research on AAD presented at the QuantTech and learn more about the algorithmic optimisation technique
Download the latest research on AAD presented at the QuantTech and learn more about the algorithmic optimisation technique
2 June, 2016
How will Adjoint Algorithmic Differentiation (AAD) help with the new FRTB regulations?
Alexander Sokol gives his insights at Global Derivatives 2016
Alexander Sokol gives his insights at Global Derivatives 2016
18 May, 2016
Highlights of the latest regulatory developments in quant finance at Global Derivatives 2016
Read the summary of the issues addressed in the series of presentations
Read the summary of the issues addressed in the series of presentations
12 May, 2016