Risk management
Investors face a huge and varied spectrum of market risk factors – a product of their dizzying array of mandates and strategies – but other risk types and tools are more widely shared. Our risk management coverage will focus primarily on these common features of the landscape – liquidity risk, non-financial exposure, macro and political risks, modelling choices, software, systems and skill-sets.
This is also our newest coverage area: over the coming weeks, you can expect to see articles on redemption modelling and liquidity. We will also be publishing a survey and report on operational risk management.
Deep hedging and the end of the Black-Scholes era
Quants are embracing the idea of ‘model free’ pricing and hedging
Can robots learn to manage risk?
Will machine learning transform risk management or give birth to a new breed of model risk? Probably both
How AI could tear up risk modelling canon
BlackRock, MSCI, LFIS among firms looking to replace traditional, linear risk models
Search engine study shows limits of alternative data
Google Trends adds nothing to volatility predictions, researchers find
Cleaning noisy data ‘almost 70%’ of machine learning labour
Quants flag signal-to-noise ratio as key to reducing overfitting risk
Podcast: Hans Buehler on deep hedging and harnessing data
Quant says a new machine learning technique could change the way banks hedge derivatives
A powder keg in forex: the prime broker business
Brokerages look at high-speed algo trading paired with bloated credit limits – and shudder
Fund ratings flip as 2008 losses fade from view
Over 90% of top-rated US equity funds have betas greater than one
Stick to core skills or risk data overload, says Goldman quant
Data-as-a-service chief says asset managers risk being swamped by new types of information
Volatility scaling unravels as market patterns shift
Waning power of quant approach could be a reason for trend following’s malaise
Fund houses get picky over where to use machine learning
Buy-siders limit usage of deep learning techniques due to haziness over their inner workings
Funds ring alarm on EU guidelines for liquidity stress-testing
Managers could be forced to use multiple methods to stress-test large number of funds every quarter
Robo traders not so different from us, says Man AHL risk chief
Watching over machine learning algorithms is similar to monitoring human portfolio managers
Buy-side quant says Brexit a ‘test’ of new AI
Natural language processing can give “more insight” into possible market shudders, says Simonian
Funds use artificial intelligence to weigh ethical investing
Quants explore links between ESG investment and outperformance
Stability heightens flash crash risks – research
Liquidity breaks down when latent orders are revealed too slowly, quant firm says
Irrational exuberance? One gauge gives BlackRock pause
One measure of investor euphoria is registering its most extreme readings since the 2000 tech crash
Factors’ tails are fatter than you think
Investors should beware extreme losses from factor investing strategies
Rokos hires new risk chief
Gianluca Squassi is replacing Nick Howard as the $8 billion hedge fund’s CRO
Natixis creates model to ‘learn’ how factors interact
Random forest technique sheds light on flux in how factors mix, manager says
Honesty is key to machine learning’s future – Roberts
Oxford-Man Institute director on why tomorrow’s models will gracefully admit defeat
Malta’s crypto assets plan means greater AML risks, IMF warns
Authorities must rapidly improve AML regime and guarantee FSA’s independence, mission says
Don’t count on vol regime change – BlackRock quant
“This time next year volatility will most likely be low,” says Fishwick