In this talk, Ignacio will present how a number of Machine Learning techniques can be used to optimise risk calculation in financial institutions. He will first present the computational problem banks are facing. Then, he will discuss a number of Machine Learning techniques and architectures that attempt to tackle the problem. Finally, he will provide numerical results of improvements achieved.

Bio

Ignacio Ruiz is currently the head of Counterparty Credit Risk Analytics and Measurement at Scotiabank. Previously, he held Vice President and Director level positions at Credit Suisse and BNP Paribas in London (UK), and was a freelance consultant for several years. He has published two books, Machine Learning for Risk Calculations and XVA Desks, and has several research & peer-reviewed papers in the subject of Risk Analytics.