MoneyScience - News and Networking for Quants

MoneyScience's event

Frontiers in Quantitative Finance Seminar Series - Antoine Savine (Danske Bank): Deep analytics for risk management

keyboard_arrow_down keyboard_arrow_up Edit Delete Clone

Start date December 12, 2019
End date December 12, 2019
Time 18:00 - 19:00
Location: Citi Stirling Square, 5-7 Carlton Gardens, London, SW1Y 5AD

We first provide a mini-tutorial on  Adjoint Algorithmic Differentiation (AAD) (also known as back-propagation in machine learning). We then illustrate how  neural networks may be used to compute dynamic values and risks of trading books with applications to risk management of derivatives,  valuation adjustments (XVA), counterpart credit risk, FRTB and SIMM margin valuation adjustments (MVA). We also describe new techniques to substantially improve deep learning on simulated data, and discuss how this is analogous to deriving approximate analytics in real time. 


Antoine Savine is a mathematician and quant at Superfly Analytics in Danske Bank. He has held multiple leading roles in the derivatives industry in the past 20 years, including Head of  Research at BNP-Paribas, and also teaches Volatility and Computational Finance at Copenhagen University. Antoine holds a PhD in Mathematics from Copenhagen University and  is the author of 'Modern Computational Finance' (Wiley 2018).

Tagging powered by
Open Calais

Built with
Spine Platform

Secured by