Nikolai Nowaczyk

Independent

SCHOLARLY PAPERS

11

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Scholarly Papers (11)

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1.

Forecasting Initial Margin Requirements - A Model Evaluation

Number of pages: 36 Posted: 06 Feb 2017
Peter Caspers, Paul Giltinan, Roland Lichters and Nikolai Nowaczyk
Acadia - An LSEG Business, Quaternion Risk Management, Quaternion Risk Management and Independent
Downloads 1,250 (28,811)
Citation 18

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Initial Margin, BCBS-IOSCO, SIMM, MVA, XVA, CCP

2.

Dynamically Controlled Kernel Estimation

Number of pages: 17 Posted: 20 Apr 2021
Joerg Kienitz, Nikolai Nowaczyk and Nancy(Qingxin) Geng
University of Wuppertal - Applied Mathematics, Independent and Imperial College London - Department of Mathematics
Downloads 810 (53,050)
Citation 1

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Gaussian process regression, control variates, kernel density estimation, Monte Carlo, regression, exposure, hedging, machine learning

3.

Dynamic Initial Margin Estimation Based on Quantiles of Johnson Distributions

Downloads 490 (100,607)
Citation 3

Dynamic Initial Margin Estimation Based on Quantiles of Johnson Distributions

Number of pages: 24 Posted: 23 Mar 2018 Last Revised: 15 Nov 2022
Thomas McWalter, Joerg Kienitz, Nikolai Nowaczyk, Ralph Rudd and Sarp Kaya Acar
University of Cape Town (UCT), University of Wuppertal - Applied Mathematics, Independent, The African Institute of Financial Markets and Risk Management and Quaternion Risk Management
Downloads 489 (99,815)
Citation 3

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dynamic initial margin (DIM); margin value adjustment (MVA); quantiles; Johnson distributions; least squares Monte Carlo.

Dynamic Initial Margin Estimation Based on Quantiles of Johnson Distributions

Journal of Credit Risk, Vol. 18, No. 4, 2022
Number of pages: 24 Posted: 01 Dec 2022
Thomas McWalter, Joerg Kienitz, Nikolai Nowaczyk, Ralph Rudd and Sarp Kaya Acar
University of Cape Town (UCT), University of Cape Town (UCT) - The African Institute of Financial Markets and Risk Management, Independent, University of Cape Town (UCT) - The African Institute of Financial Markets and Risk Management and Quaternion Risk Management
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dynamic initial margin (DIM), margin value adjustment (MVA), quantiles, Johnson distributions, least squares Monte Carlo

4.

Backtesting Correlated Quantities

Number of pages: 12 Posted: 26 Sep 2023
Nikolai Nowaczyk and Vladimir Piterbarg
Independent and NatWest MarketsImperial College London
Downloads 489 (100,864)

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Backtesting, CCR, statistics, hypothesis test, discriminatory power, model validation

5.

Deep Option Pricing - Term Structure Models

Number of pages: 22 Posted: 09 Dec 2019
Joerg Kienitz, Sarp Kaya Acar, Qian Liang and Nikolai Nowaczyk
University of Wuppertal - Applied Mathematics, Quaternion Risk Management, Quaternion Risk Management and Independent
Downloads 431 (117,102)
Citation 1

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Machine learning, Neural networks, Computational Finance, Term Structure Models, Control Variates, Option Pricing, Hull-White model, Trolle-Schwartz Model

6.

A Data Science Approach to Predict the Impact of Collateralization on Systemic Risk

Number of pages: 17 Posted: 22 Dec 2017
Sharyn O'Halloran, Nikolai Nowaczyk and Donal A. Gallagher
Columbia University - School of International & Public Affairs, Independent and Quaternion Risk Management
Downloads 224 (233,254)
Citation 1

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big data, graph theoretic models, data science, machine learning, Python, C , random graph generation, stochastic Linear Gauss-Markov model, Monte Carlo simulation, financial risk analytics, systemic risk, collateralizations, variation margin, initial margin, open source risk engine, financial regu

7.

The CV Makes the Difference – Control Variates for Neural Networks

Number of pages: 12 Posted: 25 Feb 2020 Last Revised: 27 Apr 2020
Joerg Kienitz, Sarp Kaya Acar, Qian Liang and Nikolai Nowaczyk
University of Wuppertal - Applied Mathematics, Quaternion Risk Management, Quaternion Risk Management and Independent
Downloads 223 (234,250)
Citation 1

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machine learning, neural networks, control variates, Bermudan swaption, SABR, free SABR, Heston

8.

Affine Recursion Problem and a General Framework for Adjoint Methods for Calculating Sensitivities for Financial Instruments

Number of pages: 47 Posted: 09 Nov 2011
Joerg Kienitz and Nikolai Nowaczyk
University of Wuppertal - Applied Mathematics and Independent
Downloads 191 (270,060)

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Libor Marekt Model, Adjoint Method, Affine Recursion, Bermudan Swaption, Trigger Swaps

9.

Big Data and Graph Theoretic Models: Simulating the Impact of Collateralization on a Financial System

Number of pages: 8 Posted: 01 Jun 2017
Sharyn O'Halloran, Nikolai Nowaczyk and Donal A. Gallagher
Columbia University - School of International & Public Affairs, Independent and Quaternion Risk Management
Downloads 180 (284,502)
Citation 2

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Big Data, Graph Theoretic Models, Stochastic Linear Gauss-Markov Model, Monte Carlo Simulation, Financial Risk Analytics, Collateralizations, Variation Margin, Initial Margin, Open Source Risk Engine

10.

How Deep are Financial Models?

Number of pages: 13 Posted: 16 Jul 2020
Nikolai Nowaczyk, Joerg Kienitz, Sarp Kaya Acar and Qian Liang
Independent, University of Wuppertal - Applied Mathematics, Quaternion Risk Management and Quaternion Risk Management
Downloads 177 (288,714)

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neural networks, model validation, SR 11-7, derivatives, risk management, pricing

11.

Central Clearing and Systemic Risk

Number of pages: 35 Posted: 23 Dec 2019
Nikolai Nowaczyk and Sharyn O'Halloran
Independent and Columbia University - School of International & Public Affairs
Downloads 131 (369,350)

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Central Clearing, Systemic Risk, Financial Regulation, Graph Model, Simulation, Data Science, Credit Risk