Research Project 3

RP3. Stochastic-on-Stochastic valuations and Solvency II internal balance sheet modeling (Grigorios Papamanousakis)

Leading Partner: SWIP/AAM. Supervisor: Director Erik Vynckier

A mathematically gifted ESR participating in this RP will apply state-of-the-art algorithms and numerical techniques in an industrially robust, high-performance implementation of a risk management platform at very tight deadlines. This RP depends on RP 2, RPs on numerical methods in finance (9, 10), and RPs on high-performance engineering (11-13). The results are to be published in applied journals in computational finance.

Results

Deliverables

DELIVERABLE 1.5 on project 3 (G. Papamanousakis, SWIP): "Multi-level Stochastic Valuations" [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

  • Papamanousakis, G.,"Using Machine Learning for Tactitical Asset Allocation Decisions", Global Derivatives, Trading and Risk Management, Budapest 9-13 May 2016.
  • Papamanousakis, G., "Solvency II Capital Efficient Portfolios for Multi-Asset Investors", RiskMinds Insurance, Amsterdam 21-23 March 2016.
  • Papamanousakis, G. "Asset allocation and Optimization within a Multi Asset Income portfolio under Solvency II constrains", Infoline's Solvency II Buyside Asset Management Conference, London 23-24 September 2015.
  • Papamanousakis, G.; Yang, J. & Kozikowski, G. "Potential Future Exposure and Collateral Modelling of the Trading Book Using NVIDIA GPUs", GPU Technology Conference 2015, Silicon Valley, 19th March 2015 [slides], [video]
  • Papamanousakis, G. "Case Study in Potential Future Exposure and Collateral Modelling", Alphascope 2015, Geneva, 2-5 February 2015.
  • Papamanousakis, G. "Potential Future Exposure and Collateral Modelling", 8th Annual Colleteral Management Conference, Amsterdam, 16-17- October 2014.
  • Papamanousakis, G. "Case Study in Potential Future Exposure", Fleming Europe Collateral Management, Amsterdam, 1-2 October 2014.
  • Papamanousakis, G. "PFE, Liquidity Constraints on the Balance Sheet and Derivatives Hedging", Solvency II Buy-Side Asset Management and Reporting Implications London, 27-28 January 2014.
  • Papamanousakis, G. "Economic Capital Fundamentals", 4th Annual Conference of the Society for Industrial and Applied Mathematics (SIAM), University of Edinburgh, March 2013.
  • Papamanousakis, G. "Economic Capital Fundamentals", Introduction to Risk Management, ALM and Derivative Pricing, Aarhus University, 21-25 January 2013.

Final conference

Grigorios Papamanousakis (Aberdeen Asset Management): Multi-level Stochastic Valuations