London (City): Marc Henrard: SIMM and SA FRTB: Algo Differentiation

Doors open at 18.00. Lecture starts at 18.30 following a champagne reception

Full title: SIMM and SA FRTB: double AD. Algorithmic Differentiation (AD) has been used in engineering and computer science for a long time. The term Algorithmic Differentiation can be explained as ``the art of calculating the differentiation of functions with a computer''.Over the last 5 years, AD has made its road to quantitative finance. The most straight forward use of AD is to compute the sensitivity of PV to market inputs. In the frame of SIMM and SA FRTB computation, those sensitivities are the main input and having an efficient way to produce them is important.Once the IM/Capital number is computed, there are a lot of potential analysis which are handy, like marginal IM and IM attribution. Those analysis also require some form of differentiation, this time with respect to the positions.

Agenda:

SIMM and sensitivity based FRTB: double AD

• Algorithmic Differentiation and computation of sensitivities
• First AD: fast inputs for SIMM/FRTB
• Second AD: sensitivity of the IM/Capital itself w.r.t. sensitivities
• Second AD applications: attribution and marginal IM/Capital

Bio: Marc Henrard is a Advisory Partner at OpenGamma and visiting professor at University College London.
Over the last 15 years, Marc has worked in various areas of quantitative finance. His experience includes management positions in risk management, trading, software development, and quantitative research. In particular he has been Global Head of Interest Rate Modeling for Dexia Group, Deputy Head of Treasury Risk at the Bank for International Settlements (BIS) and Head of Quantitative Research and Deputy Head of Interest Rate Trading also at BIS.
Marc's research focuses on interest rate modelling and risk management. More recently he focused his attention to market infrastructure (CCP and bilateral margin, exchange traded product design). He publishes on a regular basis in international finance journals, and is a regular speaker at academic and practitioner conferences. He is the author of The multi-curve framework: foundation, evolution, implementation (Palgrave, 2014) and Algorithmic Differentiation in Finance Explained (Palgrave, forthcoming).
Marc holds a PhD in Mathematics from the University of Louvain, Belgium. He has been research scientist and university lecturer in Belgium, Italy, Chile and the United Kingdom.