Chebyshev Spectral Decomposition for Ultra-efficient Risk Calculations - by Ignacio Ruiz

Chebyshev Spectral Decomposition for Ultra-efficient Risk Calculations

*The power of Chebyshev – MoCaX as a Smart interpolation scheme
*Selection of interpolating points and functions
*Chebyshev nodes and Chebyshev polynomials in the context of Risk Calculations
*Theoretical basis: three fundamental theorems
*Example: Parametric Chebyshev interpolation for Risk Calculations
*Practical cases studies:
-CVA
-CVA on exotics
-Cost effective IMA-FRTB (passing P&L Attribution tests!)
-Dynamic Initial Margin
-Accurate MVA
-Ultra-fast XVA sensitivities
*Commercial benefits: reduction of hardware costs, effective computation of risk metrics, hedging regulatory risk
*Generic AAD via Chebyshev Decomposition

[michaelbaudin]

Really interesting, thank your for sharing this.