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Model risk in the transition to risk-free rates
Transition is an opportunity to reduce multi-rate complexities, say Bakkar and Brigo
Podcast: Quantum computing to boom in next three to five years
Quant speaks of collaboration with Nasa and machine-learning algos for yield curves
Putting swaptions pricing in the fast lane
Derivatives consultant proposes a model for arbitrage-free pricing
Simple models won’t cut it for systemic risk
Understanding interconnectedness and capturing it within models is a key challenge, say quants
Podcast: Roos on swaptions arbitrage and benchmark reform
Benchmark reform means additional work for rates quants
Podcast: Fries on Monte Carlo, Greeks and the future of AAD
Research on AAD is not complete until it becomes easier to implement, says quant
How not to control trading behaviour
Quants show popular risk measures fail to limit risk-seeking behaviour among traders
Curbing rogue behaviour
Regulators should try to combat rogue trading by measuring traders’ risk-taking differently, say quants
XVA: back to CVA?
Fundamental questions on CVA remain unanswered, writes mathematical finance head
Multicurve modelling is about to get more complex
Research into rates pricing is becoming more urgent given recent regulatory changes
Podcast: Mercurio on Libor, fraud and writing models on a plane
Post-Libor environment and financial crime detection to drive future research, says top quant
What causes forex correlation swaps to be mispriced?
UBS quants show prices can differ by up to 25 correlation points if products modelled accurately
Podcast: Callegaro, Fiorin and Grasselli on quantization
High-dimension problems can be solved with discretisation techniques
Time to move on from risk-neutral valuation?
Risk-neutral valuation could be replaced by models with a subjectivity element, writes mathematical finance head
The bald truth about collateral haircut modelling
HSBC’s Wujiang Lou says parametric modelling of haircuts has many advantages over historical VAR
CCP stress testing gets real
Quants propose technique to generate effective, plausible CCP stress-testing scenarios
The quant factory: not muppets, but not perfect
Universities offering quant master’s programmes must adapt to stay relevant, writes UBS’s Gordon Lee
Size-discovery protocols are not on the efficient frontier
Practice improves allocations but more can be done, says Darrell Duffie
What to do about Libor?
Darrell Duffie explains why transition from Ibor-based benchmarks is necessary and feasible
The covered interest parity conundrum
Darrell Duffie explains why it’s difficult to arbitrage direct and swap-implied funding rates
Duffie: CCPs should prep to quash Sifi swap termination stays
Clearing houses need criteria for overriding stays on swap terminations, writes Darrell Duffie
FVA: off the mark
With adjustments to increase, Darrell Duffie says dealers should improve weak valuation practices
Why the leverage ratio distorts market-making
Darrell Duffie argues the rule hurts market efficiency for very safe assets
Can quants defuse the pension time bomb?
Alex Lipton argues new quantitative methods are needed to solve the looming pension crisis