- BMO working with Riskfuel Analytics to help clients make
faster, better investment decisions
- Successful pilot leveraged deep learning and fast neural
nets to speed up valuation and pricing process
TORONTO, Sept. 2, 2021 /CNW/ - BMO Financial Group
(TSX: BMO) (NYSE: BMO) and Riskfuel Analytics a
Toronto-based start-up, today
announced a partnership to develop models for pricing and scenario
analysis of structured derivatives transactions. This comes
following a successful pilot project, which saw quantitative
researchers from both firms develop a solution to speed up
valuation of autocallable notes which previously
presented significant runtime challenges when priced using
traditional valuation methodologies.
"Structured notes are traditionally priced using slow numerical
techniques that simulate an extremely large number of possible
future states of the financial markets," said Ryan Ferguson, founder and CEO of Riskfuel.
"Riskfuel uses Deep Learning to replace these slow simulators
with very fast neural nets. We are excited to be working with BMO
on making production-ready versions of such models."
As an early adopter of this technology for front office
pricing, BMO's partnership with Riskfuel Analytics adds to its
track record as an innovator in Capital
Markets, employing AI to improve the client experience
and operational efficiency simultaneously. Working
with Riskfuel will reduce reliance on slow and
expensive financial models to calculate pricing and risks of
structured products.
"Riskfuel has delivered a cutting-edge proof of concept
that promises the most significant step forward in quantitative
finance in a generation. Removing the runtime hurdle opens the
door for significant advancements in accuracy and realism of
structured notes pricing models," said Graham Wells, Managing Director and Head of
Equity Quantitative Modeling in Global Markets Engineering, BMO
Financial Group.
"Riskfuel's leading tools and expertise will help us expand our
client base, drive higher trade flows, generate new risk insights
and lead to better product design and selection. This partnership
is enabling us to assist our clients with more complex hedging
strategies and, with accelerated pricing and
analysis, help our clients make faster, smarter investment
decisions," said Lucas Caliri,
Managing Director and Head of Cross Asset Solutions, BMO Financial
Group.
BMO continues to make bold moves to drive its digital first
transformation, relentlessly innovating across its entire business
-- from product, service, and platform design, to ensuring a
scalable agile foundation across the bank, to developing solutions
that meet client needs. This includes the dramatic acceleration of
self-service, creating common cross channel experiences, the
elimination of manual processes and a strong focus on technology in
all our businesses, including BMO Capital Markets. BMO Capital
Markets' 2020 acquisition of Clearpool, a New York-based electronic trading platform,
has established BMO as a leader in electronic trading.
About Riskfuel
Riskfuel builds AI solutions to
accelerate valuation and risk sensitivity calculations. Founded in
2019 by capital markets experts, the company provides valuation
solutions to banks and insurance companies in North America and Europe with use cases covering XVA, Risk, and
Front Office analytics. For more information about Riskfuel,
click here.
About BMO Financial Group
Serving customers for 200
years and counting, BMO is a highly diversified financial services
provider - the 8th largest bank, by assets, in North America.
With total assets of $971 billion as of July 31,
2021, and a team of diverse and highly engaged employees, BMO
provides a broad range of personal and commercial banking, wealth
management and investment banking products and services to more
than 12 million customers and conducts business through three
operating groups: Personal and Commercial Banking, BMO Wealth
Management and BMO Capital Markets.
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SOURCE BMO Financial Group