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Workshop: Machine Learning Models for Interest Rates by Alexander Sokol

Financial institutions, central banks, and fintech start-ups alike have been exploring the potential of machine learning in the past few years. However, these advances have until now remained largely in the academic arena.

In this workshop, CompatibL’s Executive Chairman and Head of Quant Research, Alexander Sokol, will present a detailed overview of his award-winning models and their real-life applications and provide hands-on examples of how to create a machine learning model for interest rates in Python.

Session one/Day 1 (Tuesday, June 7, 15:00–17:00 BST): Variational Autoencoder (VAE) for the Yield Curve
*VAE for handwritten digits from the MNIST dataset
*VAE for the yield curve
*Hands-on examples in Python

Session two/Day 2 (Wednesday, June 8, 15:00–17:00 BST): Machine Learning Models in Q- and P-Measures
*Autoencoder short rate model in the Q- and P-measures
*Autoencoder forward rate model in the Q-measure
*Autoencoder term rate model in the P-measure
*Hands-on examples in Python

The workshop is open to software engineers, data scientists, quantitative risk managers, and anyone who is interested in learning more about machine learning models and their applications in finance.

Register: https://bit.ly/3NgMtjA

About Alexander Sokol

Alexander Sokol is the founder, Executive Chairman, and Head of Quant Research at CompatibL. In 2022, he has been awarded the Fintech Person of the Year Award for his expertise and developments on a new class of machine learning risk models that can work with short pandemic-era historical time series. Alexander also won the Quant of the Year Award in 2018 together with Leif Andersen and Michael Pykhtin, for their joint work revealing the true scale of the settlement gap risk that remains even in the presence of initial margin. Alexander’s other notable research contributions include systemic wrong-way risk (with Michael Pykhtin, Risk Magazine), joint measure models, and the local price of risk (with John Hull and Alan White, Risk Magazine), and mean reversion skew (Risk Books, 2014).

About WBS Training

WBS Training Ltd organizes workshops and conferences for the capital markets and treasury divisions of investment companies worldwide, centering its efforts on education. Its wealth of experience allows WBS Training to bridge the gap between the latest theoretical developments and proven practical trading floor requirements, enabling them to deliver the quality and service in financial business training that is crucial to their clients’ continued success in the marketplace