More Quantitative analysis articles
Lean times in energy and commodity derivatives trading have caused a cutback in the amount of time and resources spent on energy risk modelling – a worrying trend that could leave firms unprepared...
Jesper Andreasen slams new generation of quants as indoctrinated "muppets", incapable of independent thought
A decision by the SEC to invest in quantitative research is paying off, with recent enforcements in the hedge fund space a result of warnings generated by models, says SEC chief economist
Neil McGovern and Horace Chow discuss market trends, new regulation and areas of growth in the Asia region
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
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
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.