An update to the 1994 ISDA Credit Support Annex (CSA) introduced by the International Swaps and Derivatives Association (ISDA) in 2016 is the first attempt to update credit support documentation. The update is designed to document variation margin requirements. This will allow the CSA parties to negotiate their collateral terms.
At Global Derivatives 2016, Alexander Sokol, CompatibL’s CEO, shared his thoughts on how current amendments to regulations allow CSA parties to take advantage of the potential offered by adjoint algorithmic differentiation (AAD). According to him, AAD can dramatically accelerate calculations of risk sensitivities without a major investment in hardware. It offers a significant reduction in the time needed for massive calculations in finance, such as portfolio credit valuation adjustment (CVA), where the computational burden is large: instead of carrying out “bump and reprice” procedures hundreds of times, the calculations may now be performed at fixed overhead costs. This is a dramatic improvement, Alexander concluded.
About Global Derivatives 2016
Global Derivatives 2016 offered 5 full days of content, over a dozen of streams and over a hundred of speakers, two new summits (fintech and disruptive innovation Summit; buy-side Summit), and workshops for young quants.