Live New York Society Meeting: Statistical Cross-Asset Model for Exposure Simulation
In partnership with Acadia
Speaker: Peter Caspers, Partner, Acadia
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Venue
Fitch Learning, 33 Whitehall Street, New York 10004
Please note: This event is live, in-person only
Abstract
During this session, Peter will discuss how he extends the statistically calibrated multifactor Hull-White model developed by Balasanov and Piterbarg to a multi-currency IR-FX-commodity model for exposure simulation and will describe its integration into the C++ open source risk engine project (ORE, https://github.com/OpenSourceRisk). He will demonstrate the calibration of the model, generation of exposure profiles and validation / testing. Finally, he will expand upon open points and opportunities for future work and research.
This event can earn you up to 2 CPD credits.
Speaker Bio
Peter Caspers is a quant developer and analyst with 20+ years of experience. At Acadia’s Quant Services division, he is primarily involved in the design and implementation of pricing and risk models for bespoke client needs as well as for the standardised service infrastructure, with an eye on speedy and robust models. He is an active contributor to the open source library QuantLib for many years now. Peter holds a degree in mathematics from Techincal University of Dortmund. He is co-author of the book “Interest Rate Derivatives Explained II” (with Jörg Kienitz).
About Acadia
Acadia is a leading industry provider of integrated risk management services for the derivatives community. Our risk, margin and collateral tools enable a holistic risk management strategy on a real-time basis within a centralized industry standard platform.
Acadia’s comprehensive suite of analytics solutions and services helps firms manage risk better, smarter, and faster, while optimizing resources across the entire trade life cycle. Through an open-access model, Acadia brings together a network of banks and other derivatives participants, along with several market infrastructures and innovative vendors.
Acadia is used by a community of over 3,000 firms exchanging more than $1 trillion of collateral on daily basis via its margin automation services. Acadia is headquartered in Norwell, MA and has offices in Boston, Dublin, Dusseldorf, London, New York, Manila, and Tokyo. Acadia® is a registered trademark of AcadiaSoft, Inc.
Acadia is an LSEG Business within the Post Trade division. For more information, visit acadia.inc. Follow us on Twitter and LinkedIn
