atoti

Faster Algorithm for FRTB SBM Risk Aggregation

Building regulatory risk application with Python and atoti In this post, I want to discuss a faster approach to compute the variance-covariance formulas present in financial regulatory capital models - FRTB SBM and CVA Risk Framework - as well as ISDA SIMM and internal sensitivity-based VaR-type models, and illustrate this...

Rapid collateral modelling and simulation with atoti

You walk into a pawnshop with a precious Patek Philippe watch you inherited from your father that is worth around $80,000. The pawnbroker looks at the watch and makes an offer of $64,000 with a 1.5% interest rate. You take up the offer and the pawnbroker takes over your watch....