Historical data
A call to arms – How machine intelligence can help banks beat financial crime
The revolution in artificial intelligence promises new leads in banks’ fight against dirty money. Alexander Campbell of Risk.net hosted a live online forum, in association with NICE Actimize, to investigate the applications of this emergent technology
Libor transition calls for modelling overhaul, quants warn
All pricing, risk and valuation models will need to be changed to reflect the new rate
Seeing red: EU banks swamped by stress test demands
Banks’ stress test submissions receiving tens of thousands of error messages from local supervisors
Global fragmentation looms in FRTB data pooling stand-off
Smaller banks unwilling to hand over localised trade information to data utilities
Indexer looks to tap quant fund demand for big data
MSCI’s historical real-time data could be used in backtesting strategies, pricing exotic options
Cutting Edge introduction: Creative stress testing
New stress-testing method offers a break from decades-old traditio
Credit Suisse and UBS on Basel 2.5: Half a world away
Half a world away
Market-consistent equity risk premiums
Market-consistent equity risk premiums
Correlations in asynchronous markets
Correlations in asynchronous markets
A false sense of security
Credit portfolio models often assume that recovery rates are independent of default probabilities. Here, Jon Frye presents empirical evidence showing that such assumptions are wrong. Using US historical default data, he shows that not only are recovery…