Factor models
Factor models found to miss time variations in trading day
Large-cap momentum picks up after open, before close
SPEI’s diary: econometric analysis of a dynamic network
This paper identifies the determinants behind the dynamics of the real-time settlement payment system in Mexico, SPEI, during the period January 2005–December 2015.
Study finds holes in quality factor indexes
Metrics commonly used to build indexes bring zero alpha, says Research Affiliates
Private equity: Advanced modelling techniques for pricing and valuations
Content provided by IBM
A credit portfolio framework under dependent risk parameters: probability of default, loss given default and exposure at default
This paper introduces a credit portfolio framework that allows for dependencies between default probabilities, secured and unsecured recovery rates and exposures at default (EADs).
Random matrix theory applied to correlations in operational risk
This paper focuses on the distribution of correlations among aggregate operational risk losses.
Why multi-asset investing calls for 3G factor models
Factor models can be helpful in identifying unseen risks in investor portfolios
Better risk and performance estimates with factor-model Monte Carlo
This paper presents a solution to a common problem in asset and portfolio risk, when a manager has such a short history of asset returns that risk and performance measure estimates are unreliable.
Estimation of risk measures for large credit portfolios
In this paper, saddle point techniques are used in the computation of risk measures for large mark-to-market credit portfolios with stochastic recovery and correlation between obligors depending on the state of the economy.
Dynamic factor modeling reveals hidden risks
Risk management must be folded into investment decision-making process
AQR puts academic theory into practice
Putting theory into practice
Best in Germany
Best in Germany
A model future (part I)
Models that use factors such as key risk indicators, or KRIs, for inputs align the op risk function with credit risk and market risk - and may increase the effectiveness of operational risk within an organisation. Marcelo Cruz looks at key factors in…
Italy is real eurozone endgame, says top credit quant
Eurozone can finance a Spanish bail-out, but an Italian default is the real test of common currency’s survival, says NYU's Edward Altman