A worldwide pandemic accompanied by increased volatility has been the driving force for machine learning to gain traction in quantitative finance. CompatibL was quick to act to counter the adverse impact of the global disaster and to provide its clients with innovative technology.
Today, we are proud to have won the prestigious Best Modeling Innovation accolade at Risk Markets Technology Awards 2022.
The Risk.net judges said:
“This is truly innovative. Being able to generate time series data adequate for risk management from sparse and short true periods will be crucial given the ever-lower utility of actual historical data as a consequence of events like negative rates, covid, credit crisis, etc.”
and that the model:
“Reduced the reliance on pre-pandemic historical data.”
CompatibL’s market generator models are an industry first technology, based on pioneering research by quant experts. The models can generate data for time horizons between the 1 and 30 years that risk models require. This has made it possible to accurately measure credit risk, limits, insurance reserves, and macro strategy performance during the pandemic. The machine learning algorithms generate samples of market data when historical time series have insufficient length, without relying on any preconceived notions about the data.
Alexander Sokol, CompatibL’s Founder, Executive Chairman, and Head of Quant Research says:
“On behalf of CompatibL, I am honored to accept the Risk Market Technology Award for Best Modeling Innovation. Machine learning is a transformative new technology that will touch every aspect of the front, middle, and back office. I am confident that, before the end of this decade, it will become the market standard in financial product valuation and risk management.
Last year, financial markets experienced an unprecedented upheaval. Managing the new levels of risk required innovative solutions, and machine learning was able to meet this challenge. The CompatibL team is proud to be at the forefront of integrating machine learning into trading and risk software.”
About Risk Awards
The Markets Technology Awards are one the longest-running and most prestigious awards programs for firms and individuals involved in risk management. It focuses on market risk, trading, and investment risk technologies. The program is operated by Risk magazine, which is in its 35th year and stands as the longest-running and most respected source of news and analysis covering the financial industry, with a particular focus on risk management, derivatives, and complex finance.