Chebyshev Decomposition for Ultra-efficient Risk Calculations

The Underlying Methods inside MoCaX Intelligence

This PDF is the slides of the presentation in the 13th Fixed Income conference, Florence 2017, in which the methodology underlying MoCaX Intelligence was made public to the wide audience.

Chebyshev decomposition methods have been around for years. In this talk, I. Ruiz explained how they can be used to increase the efficiency of Risk Calculation by orders of magnitude. Examples shown include

  • CVA, FVA and IMM capital
  • Dynamic Initial Margin simulation
  • Inter-systems Pricer “Cloning”
  • Portfolio Pricing Compression
  • AAD

It is shown how Chebyshev Decompositions can decrease the computational effort by orders of magnitude without loss of accuracy from full-revaluation.

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