Research Project 2

RP2. Real-time operation of financial risk models for hedging asset and liability exposure (Jinzhe Yang)

Leading Partner: SWIP/AAM Supervisor: Terence Nahar

This RP implements financial cross-asset risk models and operates them in real-time, representing applied research in the project. The RP requires substantial development of algorithmic and numeric techniques to allow for ongoing live hedging of risks with dynamic trading strategies with various trading instruments on realistic case studies relevant to the life and pensions sector. The application will require HPC and stringent requirements for the robustness and accuracy of the implemented algorithms and technologies to achieve effective and reliable risk management.

Results

Deliverables

DELIVERABLE 1.4 on project 2 (J. Yang, SWIP/AAM): "Report on Validation and Implementation of a Risk Monitor and Hedging with HPC" [download]

Publications

Kozikowski, G., Papamanousakis, G., Yang, J. (2015), "Potential future exposure, modelling and accelerating on GPI and FPGA", WHPCF'15 Proceedings of the 8th Workshop on High Perfomance Computational Finance [link]

Presentations

  • Yang, J. “Potential Future Exposure and Collateral Modelling of the Trading Book Using NVIDIA GPUs” , GTC 2015 NVIDIA GPU Technology Conference, Silicon Valley, 19th March 2015.
  • Yang, J.; Guo, C.; Luk, W. & Nahar, T. “Collaborative Processing of Least-Square Monte Carlo for American Options”, International Conference on Field-Programmable Technology (2014), Shanghai, China, 10-12 December 2014.
  • Yang, J.; Lin, B.; Luk, W. & Nahar, T. “Particle Filtering-based Maximum Likelihood Estimation for Financial Parameter Estimation”, 24th International Conference on Field Programmable Logicand Applications (FPL), Munich, Germany, 2-4 September 2014.
  • Yang, J.; Lin, B.; Luk, W. & Nahar, T. “Parallel Implementation of Particle Filtering-based Maximum Likelihood Estimation of Jump Diffusion Model”, The 18th European Conference on Mathematics for Industry (ECMI), Taormina, Italy, 9-13 June 2014.

Final conference

Jinzhe Yang (Aberdeen Asset Management): Real-time operation of financial risk models for hedging asset and liability exposure