Machine learning models: the new standard in capital markets

CompatibL recently won Best modelling innovation at the Markets Technology Awards 2022 for its machine learning-based market generator. With pre-Covid-19 pandemic historical data no longer accurately representing the current levels of risk, CompatibL took a machine learning approach to generating market risk measures from a shorter time series, to help capital markets firms manage their market risk more accurately.

Zoi Fletcher speaks to Alexander Sokol, founder and executive chairman at CompatibL, about why he believes machine learning technology will be used to calculate risk measures across the industry going forward.

1:10 – Why Sokol and Alexei Kondratyev decided to apply machine learning to market generator models

2:36 – The advantages of new machine learning-based models for portfolio validation and risk management

3:33 – How machine learning models meet the challenge of measuring pandemic-era risk and performing validation based on data with a short time series

4:33 – How machine learning models work

6:58 – Why machine learning technology will become the market standard in financial product valuation and risk management before the end of the decade

 

Learn more about machine learning models at CompatibL

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• Awards

Best modelling innovation: CompatibL

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• 17 Feb 2022