Catégorie : White papers

Connecting technology to knowledge

Study on Management of Non-Modelable Risk Factors (NMRF) via machine learning

The fundamental review of the trading book (FRTB) drawn up by the Basel Committee (Basel Committee on Banking Supervision) imposes a series of requirements which will come into force in January 2022. One of the main innovations defined by FRTB concerns the introduction of the concept of non-modellable risk factors (NMRF), which requires the holding…
Lire la suite

Derivative Pricing

Option pricing by machine learning

SCALIFAI™ for fast and accurate option pricing by machine learning. Download whitepaper Download whitepaper × Close