The authors propose and demonstrate the value of a model with which mathematical techniques can be applied to analytically calculate means, variances and covariances more accurately than Monte Carlo simulations.
Updated list of closely correlated currencies removes lower fund requirements from 197 pairs
HSBC quant makes case for looking at collateral and funding rates in concert
Network analysis helps quant shop spot concentration and contagion risks
Historic divergence has caught the eye of Boaz Weinstein and others
After half a century of outsourcing production to developing nations, companies are changing tack – with long-term implications for investors
While the number of products is on the rise, very few have underlying liquidity
In times of volatility, simpler risk parity strategies may outperform more elaborate counterparts
Inaugural interview series looks at how sell-side traders are adapting to a world of surging inflation and rates
Gauges of geopolitical risk are better at predicting volatility than equity returns, research from XAI finds
A calculation method for regulatory CVA wrong-way risk based on credit and exposure is introduced
Talking Heads 2022: Bank is reaping rewards of sticking with its trading businesses, says macro head Lublinsky
Talking Heads 2022: Rate hikes and inflation have forced a rethink of the US bank’s hedging strategies
Techniques for linking economic factors and bank losses produce varying – and sometimes contradictory – results
This paper analyzes how soaring demand in the lending market shortly before a financial crisis can affect one of the main parameters in the internal ratings-based approach: the asset correlation.
Dealers say go-to hedges are now too risky as old relationships fail
The paper presents an analysis of correlation effects of economic factors on the operational risk losses of a medium-large UK retail bank, and it recommends that causal factors that effect operational risk should be identified.
A novel optimal execution approach via continuous-time stochastic processes is introduced
Geovol risk gauge built by Nobel laureate Robert Engle to become Global Covol
Long-established inverse correlation between asset classes breaks down during first quarter
Extreme-but-plausible scenario planning is being applied to geopolitical events such as Ukraine conflict