Risk awards 2012
Equilibrium models do not represent real markets and need to be replaced with models that take explicit account of real capital flows, says Alex Langnau
In this white paper, Gordon Russell, Global Head of Risk at Broadridge Investment Management Solutions argues that the chances of survival in this new environment will be greater for funds that implement solutions to efficiently and cost-effectively manage data and risk.
More Quantitative analysis articles
Morgan Stanley quant tells Risk's annual European quantitative finance event that modelling assumptions should be considered in light of calibration needs - even if this leads to discrepancies
A foothold in reality
Collapse of Long Term Capital Management was due to excessive leverage and shows the perils of an over-reliance on classical portfolio theory, says one of its top quants
State Street launches index measuring elasticity of US equity markets
Barclays Capital tailors indexes to US stable value industry
The UK-based bank has named an emerging markets specialist with a strong quantitative pedigree to run global fixed-income research
In 2008 and 2009, the calibration of the standard Gaussian copula model for collateralised debt obligations has frequently broken down. To overcome that problem, Martin Krekel has embedded the model...
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.