We are deligthed that UnRisk has spoken at the Wolfram Finance Event
"A Workout in Computational Finance”
which took place on 1st of Dezember in Paris.
Igor Hlivka (Senior partner and head of analytics at Zelof & Partners LLP) started off the event with a talk on "Machine Learning in Finance - clustering, classification and prediction", followed by Cyril Godart (Senior consultant at QuBits Research), who presented his work on "Risk Managing Dynamic Strategy Indices”.
Michael Aichinger (UnRisk) discussed the complexities of xVA (CVA/DVA/…) calculations arising from the cross-sectional nature of the matter, spanning pricing and risk management from front to back office. He covered, for instance, the need for comprehensive exposure modeling and the intricacies of "incremental" xVA calculations.