An uncertainty quantification framework for the achievability of backtesting results of trading strategies
In this paper, the authors propose a framework for implementing and backtesting trading strategies.
This paper proposes a qualitative method to assess the maturity of model risk management practices within banks.
Principal-protected fund-linked products on the rise as fixed-income investors seek safety
This paper aims to fill a gap in the literature by developing the first comprehensive risk management framework for private equity fund investments.
Exit follows February reshuffle of UK lender’s global risk analytics unit
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Jodi Richard, chief operational risk officer, discusses the bank being named Bank of the year in the 2017 Operational Risk Awards.
A liquidity model for basket of correlated securities is presented
Sponsored by KPMG
Some firms may stop clearing US Treasury trades if the CCLF is implemented
Demand for technical skills is growing, but roles have changed – and some schools are not keeping up
Universities offering quant master’s programmes must adapt to stay relevant, writes UBS’s Gordon Lee
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Sponsored feature: HSBC
Various approximations of the total aggregate loss quantile function with application to operational risk
This paper investigates the mechanics of the empirical aggregate loss bootstrap distribution.
A gradient-boosting decision-tree approach for firm failure prediction: an empirical model evaluation of Chinese listed companies
In this paper, the authors employ a gradient-boosting decision-tree method to improve firm failure prediction and explain how to better analyze the relative importance of each financial variable.
City of Prato likely to appeal despite perjury claims
This paper studies the pricing and optimal execution strategy of an accelerated share repurchase contract with a fixed notional.
Credit exposure can be hazardous. Misinterpreting the risks posed can be ruinous
Forecasting scenarios from the perspective of a reverse stress test using second-order cone programming
This paper proposes a model for forecasting scenarios from the perspective of a reverse stress test using interest rate, equity and foreign exchange data.
This paper shows that realized conditional autocorrelation in return residuals is a strong predictor of the relative performance of different frequency models of volatility.
Krzysztof Wolyniec presents a volumetric risk management model for energy markets
Step-in risk guidelines could be taken more seriously in the EU than in the US