Projecting exposures and margin: Getting risk models and pricing models to play nice
Andrew McClelland, Director, Quantitative Research at Numerix, presents his work on projecting off a dedicated risk model (discrete-time PCA etc.), the complex translation between the risk model and the pricing model on a per-scenario basis.
Practical implementation of machine learning techniques for risk and pricing
Christian Kappen, Manager at d-fine, shares his work on practical implementation of machine learning techniques for risk and pricing.