Quantcast – a Risk.net Cutting Edge podcast

Imperial College's mathematical finance head introduces new tool to measure slippage and trade quality

Quant finance

BoE quant discusses a top-down counterparty risk framework that uses Gaussian distributions and copulae

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.

Igor Halperin talks with Mauro Cesa

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