Toronto company selling neural-network 'surrogate' models that replicate banks' proprietary derivatives pricing engines, cutting valuation and XVA risk-run times from hours to seconds.
Canadian innovation builds a brighter tomorrow.
Toronto company selling neural-network 'surrogate' models that replicate banks' proprietary derivatives pricing engines, cutting valuation and XVA risk-run times from hours to seconds.
Federal corporation Riskfuel Analytics Inc., registered office at 140 Yonge Street, Toronto, ON M5C 1X6, status Active since 2019. ised-isde.canada.ca
Scotiabank's Head of XVA Trading says Scotiabank uses Riskfuel AI to accelerate XVA pricing and risk analytics and to warn ahead of large rate/credit/FX moves. riskfuel.com
BMO used a Riskfuel proof of concept to accelerate structured note pricing and scenario analysis, per BMO's own newsroom. newsroom.bmo.com
With Microsoft, a Riskfuel-accelerated FX barrier-option model on an Azure ND40rs_v2 GPU VM showed a 20-million-times performance improvement over the traditional model. azure.microsoft.com
Riskfuel Joins Station Fintech Montreal Accelerator (2022-08-31). riskfuel.com
Products Riskfuel publishes on its own site. Each card links to the page it was taken from.
Derivatives pricing acceleration
Trains a neural network to replicate a bank's in-house pricing engine, validated against the production system and deployed alongside it, with a full first-order sensitivity set executed as a single batched call.
Learn morePublicly announced partnerships.
Azure GPU case study: a Riskfuel-accelerated FX barrier-option model ran 20 million times faster on an Azure ND40rs_v2 VM than the original production model.
Riskfuel Neural Surrogate on Intel Xeon processors with Intel Advanced Matrix Extensions reached about 2.27 million valuations per second, versus about 1 per second for traditional model pricing.
Government support actually received. Unpublished amounts are left out.
CanExport, National Research Council Canada
CanExport SME, National Research Council Canada
Industrial Research Assistance Program – Contributions to Firms, National Research Council Canada — contribution
Industrial Research Assistance Program – Innovation Assistance Program, National Research Council Canada
Innovation Assistance Program, National Research Council Canada
Industrial Research Assistance Program – Innovation Assistance Program, National Research Council Canada
Riskfuel received the award for Best Use of Machine Learning/AI at the 2023 Risk Markets Technology Awards, which recognize advancements in market risk, trading and investment risk technologies.
Terms the company uses about its own work.
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