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Application of Chebyshev approximation techniques applied to banking risk calculations
Dissertation (MSc (Financial Engineering))--University of Pretoria, 2025.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2025
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| _version_ | 1867613478734266368 |
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| access_status_str | Open Access |
| author2 | Mare, Eben |
| author_browse | Mare, Eben |
| author_facet | Mare, Eben |
| collection | Thesis |
| dc_rights_str_mv | © 2023 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MSc (Financial Engineering))--University of Pretoria, 2025. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/100982 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:36:45.136Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2025 |
| publishDateRange | 2025 |
| publishDateSort | 2025 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/100982 Application of Chebyshev approximation techniques applied to banking risk calculations Mare, Eben mashileg@gmail.com Mashile, Grant UCTD Sustainable Development Goals (SDGs) Chebyshev approximation Tensors-train format and completion algorithm Banking risk management engine Counterpart credit risk and XVAs Dissertation (MSc (Financial Engineering))--University of Pretoria, 2025. Risk management in banking necessitates computationally intensive risk metric calculations, particularly through scenario analysis. This process is often time-consuming and costly. Numerical techniques, such as Chebyshev methods, can mitigate these burdens by enhancing calculation efficiency and reducing complexity. This study evaluates the application of Chebyshev numerical techniques in risk calculations, specifically focusing on counterparty credit risk due to its relevance and increased importance post the 2007-08 financial crisis. Using adaptations from open-source libraries such as MOCAX Intelligence, trials were conducted on representative instruments and portfolios. Key metrics, including credit value adjustment and potential future exposures, were computed. The findings reveal that Chebyshev techniques significantly reduce computation costs (1%-10% of current costs) and enhance calculation speeds while maintaining acceptable accuracy for risk management. Thus, Chebyshev numerical methods substantially improve the efficiency of risk metric calculations within the banking sector. Mathematics and Applied Mathematics MSc (Financial Engineering) Unrestricted Faculty of Natural and Agricultural Sciences None 2025-02-17T09:56:54Z 2025-02-17T09:56:54Z 2025-04 2025-02 Dissertation * A2025 http://hdl.handle.net/2263/100982 https://doi.org/10.25403/UPresearchdata.28428020 en © 2023 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Sustainable Development Goals (SDGs) Chebyshev approximation Tensors-train format and completion algorithm Banking risk management engine Counterpart credit risk and XVAs Application of Chebyshev approximation techniques applied to banking risk calculations |
| title | Application of Chebyshev approximation techniques applied to banking risk calculations |
| title_full | Application of Chebyshev approximation techniques applied to banking risk calculations |
| title_fullStr | Application of Chebyshev approximation techniques applied to banking risk calculations |
| title_full_unstemmed | Application of Chebyshev approximation techniques applied to banking risk calculations |
| title_short | Application of Chebyshev approximation techniques applied to banking risk calculations |
| title_sort | application of chebyshev approximation techniques applied to banking risk calculations |
| topic | UCTD Sustainable Development Goals (SDGs) Chebyshev approximation Tensors-train format and completion algorithm Banking risk management engine Counterpart credit risk and XVAs |
| url | http://hdl.handle.net/2263/100982 https://doi.org/10.25403/UPresearchdata.28428020 |