CompatibL is a leading provider of risk management software, model validation and quantitative consultancy services. The company’s award-winning cloud and on-premises software solution is used by financial institutions worldwide, including four major derivatives dealers, central banks and some of the world’s largest asset managers.
Our quantitative research program produced multiple innovations in models and numerical methods for counterparty credit risk, settlement risk, risk premia in the yield curve, and has been recognized by multiple awards.
Elena Ovsianko: email@example.com
Yields.io is the first FinTech platform that uses AI for real-time model risk management on an enterprise-wide scale.
Our clients use our solution to speed up model validation tasks, to generate regulatory compliant documentation and to industrialize model monitoring. The platform works with all models that are used within the financial sector such as credit risk models, valuation algorithms, market risk, AML, AI and behavioural models.
Yields.io was founded by Jos Gheerardyn and Sébastien Viguié. The company is expanding quickly and has offices in Brussels and London. Yields.io has an international portfolio of clients with both investment banks as well as regional financial institutions.
Riskfuel is pioneering the use of deep neural networks (DNNs) to accelerate the proprietary financial models that are used to calculate the values and the risk sensitivities of derivatives portfolios. Given the size of these portfolios and the many different risk sensitivities required, these models are run millions of times each day, typically in large, overnight batch processes spread over thousands of servers. Riskfuel accelerates these models, making them a million times faster so that what once took all night to run can now be completed in seconds. With Riskfuel model acceleration, you get real-time valuation and risk management … and a massive reduction in the compute workload, saving money and reducing the firm’s environmental footprint.
Both through regulation and industry practice, there is an increasing number of risk calculations that need to be done on a regular basis. These calculations require the valuation of portfolios on up to hundredths of thousands of scenarios making them computationally very expensive in time and cost.
MoCaX technology, based on Chebyshev Spectral Decomposition methods, is a methodology and software application which massively reduces the computational burden in a risk calculation. This is achieved by pricing the portfolio on very small number of pre-defined collection of points yielding an object capable of approximating a pricing function and its greeks to a very high degree of accuracy. The object can then be evaluated on thousands of risk scenarios in an ultra-efficient and numerically stable manner.
Several benefits are obtained with this technology. Applications include Market Risk VaR, IMA-FRTB, Dynamic Initial Margin for MVA and IMM, Exposure profiles for CVA and IMM, what-if analysis tools, etc.