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In this paper we introduce a new technique based on high-dimensionalChebyshev Tensors that we call \emph{Orthogonal Chebyshev Sliding Technique}.We implemented this technique inside the systems of a tier-one bank, and usedit to approximate Front Office pricing functions in order to reduce thesubstantial computational burden associated with the capital calculation asspecified by FRTB IMA. In all cases, the computational burden reductionsobtained were of more than $90\%$, while keeping high degrees of accuracy, thelatter obtained as a result of the mathematical properties enjoyed by ChebyshevTensors.

Denting the FRTB IMA computational challenge via Orthogonal Chebyshev Sliding Technique