Fundamental Review of the Trading Book Conference: Towards Practical Implementation (Frankfurt)

As a frequent sponsor of the WBS conferences, CompatibL is happy to advance the FRTB Conference: Towards Practical Implementation that will take place in Frankfurt on the 1st, 2nd and 3rd of June2016. The event will host various presentations and panel discussions of senior figures of the industry that will debate key issues of FRTB, such as: regulatory timelines, IMA and SA approach to FRTB, the impact of FRTB on CVA and Initial Margin, and many more.

Alexander Sokol, CEO and Head of Quant Research of CompatibL, will present the advantages of using AAD for FRTB SA-TB, SA-CVA, and SIMM. The presentation highlights the following:

-          Adjoint Algorithmic Differentiation (AAD) makes it possible to compute sensitivities of price and CVA orders of magnitude faster than with bump and reprice

-          The way Delta and Vega are used within FRTB SA-TB, SA-CVA, and SIMM indicates that they are meant to be first order derivatives of exact price

-          Final FRTB SA-TB and draft SA-CVA prescribe finite shifts of 1bp/1%, while SIMM also permits infinitesimal shifts

-          Momentum is building to permit the use of infinitesimal shifts for Delta and Vega in FRTB and FRTB-CVA

-          Using AAD will greatly reduce the computational effort of the standardized approach, both for SA-TB and especially for SA-CVA