Practical bank counterparty credit risk is determined by means of Monte Carlo simulations projecting the counterparty portfolio future mark to markets. In principle the simulations have to be applied to every counterparty across all bank and derivatives books so the projections depend on a large...

Demonstration that our noise filtering procedure is extremely robust on the basis of the following experiment. The noise filtering procedure was applied first to an empirical correlation matrix and, second, to the matrix built from the same time series deliberately contaminated with noise. The...

Demonstration that our noise filtering procedure is extremely robust on the basis of the following experiment. The noise filtering procedure was applied first to an empirical correlation matrix and, second, to the same matrix deliberately contaminated with noise. The final, noise filtered...

Demonstration of the extraordinary out-of-sample stability of noise-filtered correlation matrices measured in terms of simple Euclidean distance. This measure decreases 4-5 times post noise filtering implying 4-5 times improved stability.Study of the out-of-sample stability of noise-filtered...

Alexander Izmailov, Ph.D (theoretical physics) and Brian Shay, Ph.D (mathematics) of Market Memory Trading, L.L.C., present in a series of nine (9) white papers, aspects of a revolutionary advance in uncovering hidden dependencies via filtering noise from correlation matrices developed by the...