A Step-by-step Guide to Using ChatGPT to Build a Simple Risk Application

ChatGPT has received a significant amount of attention in both the media and the general public since its introduction in November 2022, but many firms are still trying to determine how much of this attention is hype, versus providing real value to those who adopt it.

In the capital markets specifically, AI and machine learning are not new, but ChatGPT’s generative AI seems to present a paradigm shift for AI usage, and firms are rapidly exploring how they can integrate it into their technologies and workflows. The billion-dollar question is, can ChatGPT be leveraged by capital markets firms, and if so, how?

Join James Gavin of Numerix as he walks through a practical example of using ChatGPT to calculate Value-at-Risk (VaR) on a swap portfolio, and then takes the example one step further to build a lightweight VaR application to simplify the process for end-users.

Mr. Gavin covers*:

  • Basics of ChatGPT usage, and quirks in writing “good” prompts
  • Step-by-step example of running a VaR calculation
  • Using ChatGPT to build a mini VaR app
  • ChatGPT’s current limits and where it “breaks”
  • Key takeaways from the experimentation process


*During the live webinar, ChatGPT didn't behave as expected for James, which provided interesting insights for the audience but caused tremendous stress for James. James graciously re-recorded his complete demo afterwards, so when you register for the webinar, you will receive access to both the original webinar recording (which also contains the engaging audience Q&A session) along with the re-recorded step-by-step demo.


Featured Speakers:

James Gavin, VP Pre-Sales, Numerix

James Gavin is VP of Pre-Sales at Numerix, leading a team of pre-sales quants and quantitative developers with the responsibility of ensuring Numerix clients maximize the potential of their front-to-risk software solutions.

Before the FINCAD acquisition by Numerix, in addition to leading FINCAD pre-sales, Mr. Gavin also held the role of Head of Professional Services. In this role, he worked with hedge funds, banks, asset managers, insurance firms and pension funds across a wide range of front-to-risk applications such as pre-trade pricing, risk management, VaR, XVAs, FRTB, ISDA SIMM and Solvency II.

Mr. Gavin earned an MSc in Finance and Capital Markets and a BSc in Financial and Actuarial Mathematics from Dublin City University in Ireland.

Moderator: Greg Murray, SVP, Marketing & Market Research, Numerix

Greg Murray is responsible for increasing awareness of the Numerix brand in financial markets around the globe, as well as conducting strategic industry research for different departments within Numerix. Previously, he oversaw product and field marketing initiatives at the company, and he started his tenure in a sales role. Prior to Numerix, Mr. Murray worked in derivative analytics sales roles at other software firms, and he held derivative trading positions for seven years as an option market-maker and proprietary trader across a variety of asset classes.


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