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
The markets classically assumed by quantitative finance trade continuously, are frictionless, infinitely deep and liquid, and often normally distributed – a fiction so enchanting that many modellers...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Quantitative analysis articles
With derivatives counterparty risk rocketing up the agenda this year, researchers have tried to shed some light on the associated challenges - from capital calculation to pricing - as the annual round-up of Risk's technical papers and citations shows....
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
The use of advanced mathematics and techniques from physics helped give credibility to the financial models that proved inadequate in the crisis. Here, Emanuel Derman, an old hand in the development of finance theory, calls for it to be reassessed –...
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
If regulators want to improve the level of disclosure for retail investment products, they need to abandon a narrative description of the risks in favour of quantitative indicators. This is the only way to close the information gap between the industry...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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