Since 2012, adjoint algorithmic differentiation (AAD) has won the hearts and minds of market players. This comes as no surprise: the potential of AAD to accelerate calculations for counterparty risk without extra investment in hardware is striking.
CompatibL recognized the advantages of using this technique right at the start of the BCBS Fundamental Review of the Trading Book (FRTB) and related revisions to the credit valuation adjustment (CVA) framework. As a result, this year, CompatibL was awarded for its efforts as the best Market Risk Technology Vendor (specialist).
“These calculations can feasibly be done in an overnight batch run, but the challenge is banks want intraday calculations so they can accurately determine pricing on a pre-trade basis and keep tabs on counterparty exposure. AAD is the best way to achieve this, and CompatibL was the first vendor to implement it in production for Monte Carlo XVA and risk,” says Alexander Sokol, CompatibL’s CEO.
About Risk Awards
Every year, Risk.net, the world’s leading source of in-depth news and analysis on risk management, derivatives and regulation, brings together the entire market to recognize the achievements of its many participants and those of the industry as a whole. Risk Awards are the longest-running and most prestigious awards for firms and individuals involved in the global derivatives markets and in risk management.
