Quantitative analysis
Quants tout improved expected shortfall backtest
Measure aims to provide better gauge of VAR violations
Banks ask Fed to delay CECL impact on stress testing
Fed asked not to implement CECL into CCAR until 2021
Machine earning: how tech is shaking up bank market-making
As banks get serious about e-trading, humans are being asked to give up their secrets to the machines that could replace them
Lo’s ‘dynamic alpha’ gives quants new tool to fine-tune strategies
Time-sensitive measure could help manage systemic risk too
Podcast: Lo on adaptive regulation, machine learning, bitcoin
MIT quant says next project will be to combine behavioural science with tech such as machine learning
Libor transition calls for modelling overhaul, quants warn
All pricing, risk and valuation models will need to be changed to reflect the new rate
New frontiers
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
Ping An unit prepares factor investing foray
Insurance giant’s asset management arm turns to alternative risk premia as fundamental returns in emerging markets begin to shrink
BoE: UK banks falling short on stress-test model risk
Recent guidance on stress-test models could be expanded, says BoE exec
Risk management on course to move beyond cost centre
Video Q&A: Neil Dodgson, IBM Watson Financial Services
On the offensive – Seeking a new edge, buy-side invests in portfolio and risk analytics
A fast-moving, headstrong hedge fund – hit by rare losses after a black swan event touched on an overweight country exposure – ponders adding fresh quantitative expertise. Much to traders’ chagrin, the chief investment officer and chief operating officer…
Podcast: Roos on swaptions arbitrage and benchmark reform
Benchmark reform means additional work for rates quants
Quants warn over flaws in machine learning predictions
Six quants debate whether the tool can adjust to paradigm shifts in financial markets
Deutsche adds senior quant to risk methodology team
Theis leaves role as head of market models at Standard Chartered to join German bank
QE unwind won’t spur volatility, say quants
Bond-buying schemes have “almost zero” link to volatility of stocks, says Wolfe Research
Quants needed: how finance can use power of quantum tech
New machines have big potential in AI, valuations and VAR, but tech giants like IBM need help from practitioners
Investors warm to quant tools to gauge political risk
Many funds have lost confidence in traditional ways of measuring political risk
Quant analyst Antonov to swap Numerix for Standard Chartered
New role in London only second for Numerix veteran
Machine learning is not just for the buy side
Sell-side quants develop machine learning technique to optimise margin costs
People moves: Deutsche Börse appoints UniCredit banker as new CEO
New fixed-income head at Mizuho; trueEX hires CTO; Deutsche fills ETF role; and more
Making the alternative a reality
Quant firms will have to adapt to prosper in the new datasets environment
Quants of the year: Leif Andersen, Michael Pykhtin and Alexander Sokol
Risk Awards 2018: Quants reveal hidden settlement risks – and present solutions