Conversations around the latest articles and topics covered by Risk.net's Cutting Edge team.
Quantcast – a Risk.net Cutting Edge podcast
Trio of senior quants explain how autoencoders can reduce dimensionality in yield curves
Lyudmil Zyapkov on modelling forward variance skew
Adia quant explains how to apply hierarchical risk parity to a minimum-variance portfolio
Alexei Kondratyev on quantum computing
Quantcast: Piterbarg and Nowaczyk on decorrelating variables. A novel data manipulation technique strengthens backtesting on correlated data.
Oxford-Man Institute director worries ML-based trading could have anti-competitive effects
JP Morgan quant Lorenzo Ravagli proposes a unified framework for trading the volatility skew premium
JP Morgan quant discusses his alternative to Greeks decomposition
Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swaps
Quant says high volatility requires pricing and risk management models to be revisited
Academic discusses option pricing, path-dependent volatility and tackling FIFA's statistical bias
Portfolio manager and academic researcher talks about how his technique applies to LDI portfolios
Industry quant teams up with academics to build better risk tools for FX markets
Julius Baer equity quant revels in solving problems for the trading desk.
A discussion around alternatives designed to overcome the pitfalls of neural networks.
Chris Kenyon: the right way to wrong-way risk and climate risk in XVA
Marc Henrard 22/08/02 by Quantcast – a Risk.net Cutting Edge podcast
Gordon Ritter 24/06/22 by Quantcast – a Risk.net Cutting Edge podcast
Lipton on automated FX market-making and the perils of stablecoins
JP Morgan quant explains the importance of de-trending training datasets
Clearing house is “seriously considering” contributing to own default waterfall
Gordon Lee - 11/02/22 by Quantcast – a Risk.net Cutting Edge podcast
Applied maths professor talks about how to calculate the contributions to value-at-risk
Oxford-Man Institute quant, Stefan Zohren, shows how to use deep learning for forecasting
Antonov on pricing not-so-vanilla rates products – new model makes it easier to coherently price correlated derivatives
Quants achieve more speed by reducing number of dimensions in price calculations
TCA methodologies that ignore partial fills “might be off by 20% to 30%”, says Petter Kolm, professor of finance and director of the Mathematics in Finance master's program at NYU's Courant Institute of Mathematical Sciences
Colin Turfus, senior quant analyst at Deutsche Bank and author of ‘Risky caplet pricing with backward-looking rates', on short-rate models and Libor's end
Darwin's theory of natural section could help quants detect flawed models and strategies, says Claudio Albanese, founder and head of development at Global Valuation
How the Libor transition inspired NatWest quant Vladimir Piterbarg's latest paper on exotic derivatives valuation
Ex-JP Morgan quant Patrick Hagan discusses his latest work and the risk failures that cost the bank $6 billion in 2012.
Ben Burnett, a director of the XVA quant team at Barclays, discusses the development and application of a hedging valuation adjustment to derivatives transactions.
Star quant proposes a new model for predicting changes in bond ratings
Matthias Arnsdorf talks about how to adjust the capital valuation adjustment. The JP Morgan quant proposes an alternative calculation that would reduce the charge by an order of magnitude.
CFM’s Bouchaud on agent-based models and ESG investing
Dario Villani - 28/07/20 by Quantcast – a Risk.net Cutting Edge podcast
Lipton and De Prado discuss trading strategies and Covid-19 modelling
Quants explain application latest techniques to produce synthetic data
Market generator models may aid areas of finance where data is limited or sensitive, by generating new data with the same statistical properties, say Alexei Kondratyev and Christian Schwarz
Trades’ size limits, membership rules and more transparency are key to avoid another CCPs’ default, says BofA quant Andrew Dickinson
Mats Kjaer discusses a balance-sheet based model in which he derives breakeven price and valuation adjustments of a new trade for the firm and the shareholders
Model validation for ES-based risk models is not only possible but far more informative than traditional model acceptance on the basis of VAR exceedance counting, says head of valuation and quantitative solutions at Banque Pictet in Geneva
Numerix's Andrew McClelland talks to Mauro Cesa in relation to an upcoming Risk.net paper – MVA: future IM for client trades and dynamic hedges
Quants talk about new technique that can model wrong-way risk better
Quant says a new machine learning technique could change the way banks hedge derivatives
How quantum theory could aid portfolio construction
Credit Suisse quant talks about new paper on valuing quanto options
Combination of rough volatility and the classical Heston model gives promising results
Marc Henrard, a managing partner at muRisQ Advisory, visited our London offices to record a podcast on the challenges of Libor transition as part of benchmark reform. He was joined over the phone by Fabio Mercurio, head of the quant analytics team at Bloomberg.
Course director discusses machine learning explainability and reclaiming game theory from economists