The Superfly analytics team, Danske Bank
This award is for the team who has tirelessly designed, developed and implemented new models and risk management techniques that have helped their financial institution manage risk more accurately and/or helped their institution comply with regulatory requirements.
The SuperFly analytics department built and implemented in production a unique risk platform. Its core libraries include cutting edge models, mostly invented in-house, with algorithmic and system design innovations. The models and algorithms respect a strict model hierarchy ensuring valuation and risk consistency across the board.
SuperFly was extended in 2019 to simulate training sets, allowing Deep Learning models to learn the future value and risk of trading books.
