Extreme events
Semi-nonparametric estimation of operational risk capital with extreme loss events
The authors put forward a means to estimate value-at-risk capital during extreme loss events which combines SNP estimation with EVT-POT theory.
AQR quant on the network effects behind GameStop frenzy
New model captures how ‘fanatical’ investors can influence asset prices
Model misfires raise questions over training data
Quants wrestle with how far into the past their machine learning models should peer
Vol decay and correlation flips: CFM’s take on the Covid crisis
Market bounce-back blindsided quant investment firm – and others
Q&A: Ron Dembo on crowd-spotting black swans
Veteran quant argues large groups are better at gauging extreme uncertainty than small teams of experts
Dark materials: how one academic is delving into data
David Hand shines a light on dark data and the dangers of distortion by absence
When climate risk starts to bite
Energy firms under increased pressure to assess physical climate risk
Model risk management transformation
Financial institutions have been maturing their approaches to MRM and – as models become more complex and pervasive, and regulatory expectations continue to increase – leading financial institutions seek faster and further movement. Ashutosh Nawani, head…
Volatility scaling unravels as market patterns shift
Waning power of quant approach could be a reason for trend following’s malaise