A Fireside Chat with CompatibL's Alexander Sokol

Alexander Sokol discusses pricing and risk models for interest rate derivatives and how incumbent models can be improved.

Alexander Sokol, founder and executive chairman of CompatibL, sits down with Victor Anderson and discusses the shortcomings of traditional pricing and risk models for interest rate derivatives, and how those models can be enhanced to provide quants and risk managers with more accurate and transparent risk measures. In this interview they discuss: 

  • The limitations of traditional interest rate pricing and risk models and how those models be enhanced. 
  • The development of CompatibL’s new machine learning-based pricing and risk model for interest rate derivatives, and the critical role machine learning technology plays in the accuracy of the new model.
  • The practical implications of firms adopting the new model in terms of its ability to enhance quants’ and risk practitioners’ abilities to accurately and transparently price interest rate instruments and measure their risk.
  • How capital markets firms can access the new model and the market’s response to it to date.  
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