The FRTB-IMA computational challenge for Equity Autocallables
Abstract
When the Orthogonal Chebyshev Sliding Technique was introduced it was applied to a portfolio of swaps and swaptions within the context of the FRTB-IMA capital calculation. The computational cost associated to the computation of the ES values - an essential component of the capital caluclation under FRTB-IMA - was reduced by more than while passing PLA tests. This paper extends the use of the Orthogonal Chebyshev Sliding Technique to portfolios of equity autocallables defined over a range of spot underlyings. Results are very positive as computational reductions are of about with passing PLA metrics. Since equity autocallables are a commonly traded exotic trade type, with significant FRTB-IMA computational costs, the extension presented in this paper constitutes an imporant step forward in tackling the computational challenges associated to an efficient FRTB-IMA implementation.
Cite
@article{arxiv.2305.06215,
title = {The FRTB-IMA computational challenge for Equity Autocallables},
author = {Mariano Zeron and Meng Wu and Ignacio Ruiz},
journal= {arXiv preprint arXiv:2305.06215},
year = {2025}
}