Innovative Risk Measurement for Inflation Derivatives: Traditional vs Machine Learning Approaches

This webinar, organized by the GARP Italy Chapter, will address the challenges of modelling and assessing risk in inflation-linked derivative products, a highly relevant topic in current market environments. The session will feature insights from academia along with real-world applications, spotlighting both traditional pricing methodologies and advanced machine learning techniques. It will explore conventional pricing approaches for inflation-indexed swaps and related derivatives and delve into the quantification of risk and sensitivities (the “Greeks”). The discussion will also highlight the limitations of market standard evaluation modules such as Bloomberg SWIL and SWPM and examine the pitfalls of current quantitative routines in seasonality modelling. Furthermore, the webinar will introduce robust machine learning valuation techniques using LSTM networks, culminating in a side-by-side comparison of traditional models versus ML methods for model risk assessment. 

Agenda:

6:00 – 6:05 pm: Welcome

6:05 – 6:45 pm: Presentation

6:45 – 6:55 pm: Audience Q&A

6:55 – 7:00 pm: Closing