Currency Position Optimization

This project was completed as part of Scientific Team Project (PSC) at École Polytechnique in collaboration with BNB Paribas and supervised by Prof. Gilles Schaeffer. The project focuses on optimizing capital provisions for a bank’s foreign currency positions under regulatory constraints. The goal is to determine optimal netting strategies between correlated currencies to minimize the Risk-Weighted Asset (RWA) and the required capital reserve. By modeling long and short positions and leveraging statistical correlations, the project develops algorithms that provide exact or approximate solutions efficiently, reducing immobilized capital while complying with regulations.

You can find below the project report (in french).