Cutting Edge is the quantitative finance section of Risk.net. It publishes exclusive peer-reviewed papers selected for their originality, relevance and applicability to financial markets. It also publishes podcasts with leading quants on the most topical issues, and comments from practitioners and our editorial team.
Latest Cutting Edge
Quants bring ‘triptych’ of variables to risk measurement
Risk and portfolio managers at La Francaise and LFIS are squeezing more information out of stress tests
A triptych approach for reverse stress testing of complex portfolios
Pascal Traccucci et al present an extended reverse stress test triptych approach with three variables
In the balance redux
Mats Kjaer developes a dynamic balance-sheet pricing model for valuation adjustments
Podcast: Mats Kjaer on how trades affect the balance sheet
Bloomberg quant has developed a balance-sheet model for XVA pricing
Reduced-form capital optimisation
A linear approximation to an allocation technique provides a solution for banks’ capital managment
Investments
Research papers on the buy-side industry, providing quantitative solutions for portfolio management, trading, machine learning applications for investment firms
Banking
Research papers on the derivatives business, banks’ risk management, machine learning applications for dealers
Podcasts
Podcast: Mats Kjaer on how trades affect the balance sheet
Podcast: Acerbi on backtesting ES and FRTB’s patchwork rules
Podcast: McClelland on why you need a good MVA model
Podcast: Gregory and Chung on wrong-way risk modelling
Comment
Quants bring ‘triptych’ of variables to risk measurement
Game theory plays well for capital management
Backtesting expected shortfall: mission accomplished?
Fishing for collateral with neural nets