Our take
Factors’ tails are fatter than you think
Investors should beware extreme losses from factor investing strategies
We need to talk about Collins
Standardised capital has become the binding constraint for all US G-Sibs bar Goldman and BNY Mellon
Calling out autocallable pricing
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
Dabbling in data science won’t cut it
Banks are seeking data-led boost for research arms – only a few will succeed
A tale of two CCPs
Nasdaq and Ice breaches carry warnings for the market
Does credit risk need an expected shortfall-style revamp?
Quants propose tail risk-sensitive measure for counterparty credit risk
Credit risk quants are hitting the tech gap
An appetite to cut the costs of IRB is constrained by tougher regulatory scrutiny
Learning algos that learn how to learn
Knowing what to remember and what to forget could help machines beat quant and discretionary investors
Margin model revamp should top 2019 agenda for Asian CCPs
As rates rise and trade tensions grow, CCPs must be prepared for higher volatility
What’s Finnish for ‘too big to fail’?
Strange case of Nordea highlights flaw in G-Sib assessments
You don’t need to sacrifice accuracy for flexibility
BAML quant proposes option pricing model that softens conflict between the two properties
If CLO investors flee, defaults could snowball
High yield borrowers relying on a steady stream of leveraged loan issuance that could quickly run dry
Lobbing out the Clobs?
As more prop traders go bilateral, what does it say about – and mean for – market liquidity?
In EU stress tests, everyone’s a loser
European Union-wide stress tests deserve a 'Could do better'
Asian exotics desks need to slash risk
Time for structured products desks to curb their appetite for risk
How replication simplifies pricing of vol exotics
Barclays quants replicate knock-out corridor swaps using barrier options in bid to make pricing easier
Humans struggle to keep pace with machine learning
Banks and regulators grapple with ‘XAI’ challenge
The aftershocks of Einar Aas
Energy could be particularly badly affected by the €114m default of Nasdaq power trader Einar Aas
Lesson from alt premia’s horrible year: be patient
Investment approach’s diversification benefits can’t be relied on in the short term
Searching for the end of Giancarlo’s white-paper trail
CFTC chairman faces key test to turn thought leadership into real reform
Compression lessons from Japan
Chinese banks remain reluctant to compress, but Japan’s example offers succour
Let regulators manage no-deal risks
EU can stop swaps market falling over a Brexit cliff – and EU firms will be biggest losers if they don’t act
Fischer Black was right. Somewhat
CFM quants show timing and extent of mean reversion using a highly data-intensive study
The foreshocks of Brexit
As Brexit chaos continues, energy firms and traders are upping sticks and leaving the UK