Alexander Sokol

CompatibL

CEO and Head of Quant Research

100 Overlook Center

Second Floor

Princeton, NJ 08540

United States

http://www.compatibl.com

SCHOLARLY PAPERS

6

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TOTAL CITATIONS
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Top 35,051

in Total Papers Citations

40

Scholarly Papers (6)

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1.

Rethinking Margin Period of Risk

Number of pages: 35 Posted: 22 Jan 2016
Leif B. G. Andersen, Michael Pykhtin and Alexander Sokol
Bank of America, Board of Governors of the Federal Reserve System and CompatibL
Downloads 2,804 (10,294)
Citation 10

Abstract:

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Margin Period of Risk, Swaps, Collateral, Credit Exposure, CVA

2.

Modeling the Short Rate: The Real and Risk-Neutral Worlds

Rotman School of Management Working Paper No. 2403067
Number of pages: 19 Posted: 02 Mar 2014 Last Revised: 03 Jul 2014
John C. Hull, Alexander Sokol and Alan White
University of Toronto - Rotman School of Management, CompatibL and University of Toronto - Rotman School of Management
Downloads 2,782 (10,445)
Citation 9

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Real World Measure, Market Price of Risk, PFE, CVA, Limits, Liquidity, Solvency II, Interest Rate Models, Short Rate, Monte Carlo, Long Term Simulation, Potential Future Exposure, Joint Measure

3.

Credit Exposure in the Presence of Initial Margin

Number of pages: 20 Posted: 08 Jul 2016 Last Revised: 09 May 2017
Leif B. G. Andersen, Michael Pykhtin and Alexander Sokol
Bank of America, Board of Governors of the Federal Reserve System and CompatibL
Downloads 2,160 (15,720)
Citation 20

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margin period of risk, initial margin, credit exposure, uncleared margin rules, kernel regression

4.

Autoencoder Market Models for Interest Rates

Number of pages: 44 Posted: 16 Dec 2022
Alexander Sokol
CompatibL
Downloads 1,715 (22,594)

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Autoencoder Market Model, AEMM, Interest Rates, Nelson-Siegel, Machine Learning, ML, Autoencoder, Variational Autoencoder, VAE

5.

Autoencoder-Based Risk-Neutral Model for Interest Rates

Number of pages: 25 Posted: 22 May 2024
Andrei Lyashenko, Fabio Mercurio and Alexander Sokol
Quantitative Risk Management, Inc., Bloomberg L.P. and CompatibL
Downloads 1,467 (28,686)
Citation 1

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Interest Rates, Risk-Neutral, Autoencoder Model, HJM, FHJM, AEMM

6.

Machine Learning for Interest Rates: Using Auto-Encoders for the Risk-Neutral Modeling of Yield Curves

Number of pages: 17 Posted: 01 Oct 2024
Andrei Lyashenko, Fabio Mercurio and Alexander Sokol
Quantitative Risk Management, Inc., Bloomberg L.P. and CompatibL
Downloads 1,055 (46,275)

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