AFTAs 2021: Best new technology introduced over the last 12 months (trading and risk)—CompatibL

OVERVIEW

Pre-Covid-19 historical data no longer accurately represents current risk levels, and the ability to measure risk from shorter time series is invaluable during the ongoing pandemic.

Market standard models for credit risk, limits, insurance reserves, and macro investing measure risk years ahead. They require a long time series that extends to pre-pandemic data.

THE SOLUTION

CompatibL’s market generators are able to generate the data for time horizons between one and 30 years that risk models require, making accurate measurement of credit risk, limits, insurance reserves (economic scenario generation) and macro strategy performance possible during the pandemic.

CompatibL’s market generator uses unsupervised machine learning to aggregate statistics from multiple currencies and credit names to overcome the short length of pandemic-era time series, while rigorously preserving the individual differences between the names.

“Machine learning is a transformative new technology that will touch every aspect of the front, middle, and back office. I am confident that before the end of this decade, it will become the market standard in financial product valuation and risk management. By delivering the industry’s first machine learning-based, market generator driven credit risk models to production in 2021, CompatibL won its place at the forefront of this historic change while solving a specific industry need of measuring the pandemic level of risk without relying on outdated pre-pandemic historical data.”
Alexander Sokol, executive chairman and head of quant research, CompatibL

WHAT’S TO COME

CompatibL will look to enhance its offering to help firms manage risk during periods of dramatic change. 

The vendor will look to further expand its risk coverage in light of what was learned during the pandemic.

WHY THEY WON

The impact of the Covid-19 pandemic is ongoing in financial markets and CompatibL has answered the call for accurate rick measurement during uncertain times using artificial intelligence (AI). Specifically, machine learning-powered capabilities will continue to solve evolving use cases and CompatibL has demonstrated that.  

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