Volume 8, Issue 3, 2014
The predictive content of dynamic factor models in term structure modeling is evaluated and validated. Under a purely statistical data-driven approach, different sets of variables, estimation and forecasting...
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More Modelling articles
New areas for quant research are in abundance, but resources are not
Insurers seek an easier way to generate reports as regulations rise
North American shale boom and renewables growth underline importance
Not-for-profit modelling framework aims to liberalise the catastrophe risk model industry
Most European insurers do not hold Solvency II compliant documentation, finds survey
As insurers look for ways to improve the speed of their modelling calculations, some are turning to microprocessors originally developed for computer graphics in games consoles to increase calculati...
Mathematical models have always had their detractors, who view them as black boxes and their creators as blinkered eggheads, but this suspicion is now shaping new bank capital rules – with regulators...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.