Modelling
Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression
The authors of this paper investigate the risk modeling of commodities. They note that return distributions differ widely across different commodities, both in terms of tail fatness and skewness.
The global network of payment flows
This paper considers a network of cross-border SWIFT message flows where nodes are the countries in which the sending and receiving banks are domiciled. The authors analyze how the payment flows reflect or predict various aspects of the real economies.
Quant ideas: Do we need realistic models?
Realistic models not necessarily a prerequisite for successful risk management
Practitioners must take risk measures with a pinch of salt
Buffett's warning on perils of volatility is well justified, argues Kaminski
Markets specialists make push into VA modelling
Actuarial system vendors face growing competition
Anatomy of a model: Valuation of physical assets
Quant ideas paper dissects layers of valuation models for physical assets
Oil prices collapse: assessing the ‘known unknowns’
Vincent Kaminski explores the potential dangers lurking in oil markets
Battery storage to transform power market models
Technological breakthrough could rewrite the rules of power trading
Energy evolution set to reshape risk management
Technological progress expected to change the way energy is traded
Robust valuation and hedging of tolling agreements and physical assets
Flexible, martingale duality-based method provides reliable valuation
With-profits models lack sophistication, survey shows
Towers Watson survey reveals over half of insurers do not project risk appetite
Innovative, independent, integrated market approach
Sponsored video: Societe Generale
Cutting Edge intro: maths versus machine
Banks can use maths - rather than special chips - to boost computing speed
Energy trading firms may rue the decline of quants
New areas for quant research are in abundance, but resources are not
Insurers seek to consolidate proliferation of models
Insurers seek an easier way to generate reports as regulations rise
Innovation of the Year Award: Energy Fundamentals
On-the-spot scenario analysis could change the way companies work
Quants: how they shaped the modern energy market
Application of quantitative analysis to energy was far from smooth
Quant energy models need greater emphasis on fundamentals
North American shale boom and renewables growth underline importance
Rival vendors unveil open cat modelling platforms
New product suites offer increased transparency and customisation
Insurers play down ‘misuse’ threat of open source cat model framework
Not-for-profit modelling framework aims to liberalise the catastrophe risk model industry
Resist the rise of the risk management machines
Overreliance on modern risk management systems, and metrics such as value-at-risk, can blind firms to tectonic structural market shifts. To help alleviate this problem, the use of human judgement and intervention is required, argues Vincent Kaminski