Financial Engineering Workshop - Alessandro Gnoatto - University of Verona, Italy - via Microsoft Teams

by Faculty Events

Webinar

Wed, Feb 10, 2021

6:10 PM – 7:15 PM (GMT+0)

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Alessandro Gnoatto is a quantitative analyst with international academic experience (PhD and Post-Doc). He will be giving an online seminar titled “Deep xVA” on Wednesday 10th February 2021 from 18:10 - 19:15.

Abstract: In the first part of the talk, we present a general portfolio wide xVA framework based on BSDEs. We discuss the issue of consistency between front office CSA discounting rules and global discounting by the xVA desk. We address also incremental xVA calculations and the existence of multiple aggregation levels in the bank portfolio.

In the second part of the talk, we present a novel computational framework for portfolio-wide risk management problems, where the presence of a potentially large number of risk factors makes traditional numerical techniques ineffective. The new method utilises a coupled system of BSDEs for the valuation adjustments (xVA) and solves these by a recursive application of a neural network based BSDE solver. This not only makes the computation of xVA for high-dimensional problems feasible, but also produces hedge ratios and dynamic risk measures for xVA, and allows simulations of the collateral account. The talk is based on joint works with F. Biagini (Munich), I. Oliva (Rome), A. Picarelli (Verona) and C. Reisinger (Oxford). Paper available at https://arxiv.org/abs/1905.11328 and https://arxiv.org/abs/2005.02633

Speaker Bio: I am a quantitative analyst with international academic experience (PhD and Post-Doc). I have a keen interest in the use of mathematical tools for the description of financial markets. I am an experienced model developer in the context of FX and Interest Rates. I offer a good combination of mathematical background and programming expertise, which allows me to manage projects in the domain of quantitative finance from the definition of a model up to its software implementation.
 

 

The Financial Engineering Workshop will now be online only via Microsoft Teams. 

For the link to the online seminar please register before 2pm on the day of the seminar otherwise you will not be given access.