The Regulations, the Sensitivities, and the Adjoints

Alexander Sokol (CompatibL)

May 2016

Presented at the internationally recognized Global Derivatives Conference in Budapest on May 11, 2016, this presentation describes how Algorithmic Differentiation may become the solution to the many computational woes of FRTB SA-TB, FRTB SA-CVA, and SIMM, and includes definitions of the algorithmic differentiation terminology, as well as a detailed overview of the sensitivity-related complexities that have been imposed by the regulators.

Download the full presentation here.