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
Independent component analysis is proposed as an alternative to principal component analysis
A risk decomposition by fund manager, factor or instrument is proposed
EBA fears suggested treatment of emissions would be misaligned with rest of FRTB
Fractional differencing: (in)stability of spectral structure and risk measures of financial networks
This paper studies how correcting for the order of differencing leads to altered filtering and risk computation for inferred networks.
To capture the commonality in idiosyncratic volatility, the authors propose a novel multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model called dynamic factor correlation (DFC).
Clearing house testing new Span 2 framework with members, more work needed with vendors
Investors should switch between factors as alphas change, says quant
Copulas can still deliver if chosen with due attention to intuition and data, says quant fund chair
Technologist talks artificial intelligence, angel investing and accidentally contributing to the Basel framework
A growing field of mathematical research could help us understand correlation fluctuations, says quant expert
Spreads on ‘worst-of’ bonds leap 50% as some dealers retreat and others pile on hedges
Study shows even the most modern default models benefit from adding credit rating information
A new diversification measure appears to produce better results than mean-variance optimisation
New diversification measure enables construction of equally diversified portfolios
Market bounce-back blindsided quant investment firm – and others
March’s volatility forces dealers to fine-tune hedging strategies