CompatibL is proud to announce its Best Sell-Side Newcomer Product (Trading, Pricing, and Analytics) win at this year’s WatersTechnology Sell-Side Technology Awards for Autoencoder Market Models (AEMM), its latest innovation.

WatersTechnology said:

“CompatibL follows up its win in the most innovative third-party technology vendor (AI and machine learning) category in last year’s American Financial Technology Awards (AFTAs) by winning this award on the back of the innovations it has introduced, most notably … autoencoder market models. These models are especially beneficial for users during times of extreme uncertainty and volatility because of their ability to accurately predict risk measures for which historical scenarios and data does not exist.”

Users can choose AEMM for all calculations, from valuation and credit valuation adjustments in risk-neutral measures to counterparty credit risk and limits in real-world measures.

The variational autoencoders (VAEs) in these models are trained using the entire history of interest rates, not only for the currency being modeled but across all currencies. This historical data covers all kinds of market regimes. This allows AEMM to represent the diverse risk scenarios needed in today’s capital markets, which have unprecedented levels of risk.

Just leptop
Autoencoder Market Models Paper: Now Available on SSRN
Alexander Sokol’s working paper “Autoencoder Market Models for Interest Rates” has been published on SSRN. Click the button below to get the full version of the paper and learn more about the new type of interest rate models based on machine learning.

Follow this link to learn more.

For more details on AEMM, read our article about the role of machine learning risk models in mitigating interest rate risks.

About Sell-Side Technology Awards

Hosted by WatersTechnology, the Sell-Side Technology Awards recognize the leading technologies and third-party vendors in their area of expertise. The awards focus on market-leading technologies developed specifically for sell-side firms that allow them to operate more efficiently, more transparently, and more judiciously.

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