Excellence in Risk Management and Modelling award | RiskMinds 2019 | Winner: Superfly Analytics at Danske Bank

From Risk Minds web page: “This award is for the team who has tirelessly designed, developed and implemented new models and risk management techniques that have helped their financial institution manage risk more accurately and/or helped their institution comply with regulatory requirements.”

RiskMinds is “the world’s largest risk management event. 700+ CROs and experts from banks, buy-side, regulators, academia and beyond cover every hot topic in risk.”

Superfly Analytics presented its One Analytic Engine and Deep Analytics: Risk Management with AI. See all the slides here.

RiskMinds 2019

Flying Monday to Amsterdam with my colleagues from Superfly Analytics of Danske Bank, including Brian Huge and Ove Scavenius, to attend the RiskMinds 2019 risk management conference and the award ceremony, where our group is nominated for ‘Excellence in risk management and modeling’.

EDIT: Superfly Analytics now won the award:

Excellence in Risk Management and Modelling, winner: Superfly Analytics at Danske Bank

We will be presenting our vision of modern risk management systems and the ‘One Analytics’ platform: full front to back consistency with scripting of cash-flows , model hierarchies and AAD. Further, we will present ‘Deep Analytics’: leveraging risk management systems with AI to learn revaluation and risk analytics on the fly. For those unable to attend, we posted our slides online here:

www.deep-analytics.org

click on the picture to see the presentation

Deep learning derivatives pricing

I made two simplistic TensorFlow (1.x) notebooks for the benefit of my students at Copenhagen University, to demonstrate how vanilla neural nets (deeply) learn pricing of European calls and high dimensional basket options, together with a comparison with conventional polynomial regression models (a la LSM) and a quick, simple introduction to the implementation of deep learning models in TensorFlow.

Notebook 1: European call in Black and Scholes

Notebook 2: Basket option in Bachelier

The notebooks run directly on Google colab, in the cloud and on GPU, no installation required.

The lecture slides and material are all found here: github.com/asavine/CompFinLecture

Some (much) more advanced considerations for efficiently learning prices of trading books, including “twin” neural nets who learn values and risks, and the super efficient differential regularization, are found here: slideshare.net/AntoineSavine/deep-analytics