Extreme events
Transforming stress-testing with AI
Firms can update their stress-testing capability by harnessing automated scenario generation, says fintech advocate
Investors question fixes for a quant strategy that’s stalled
Banks are revamping intraday trend strategies; buy-siders aren’t sure it’ll work
Prudential CRO: markets haven’t priced in tail risks
Risk USA: distribution of extreme outcomes “has gotten broader and wider”, says Nick Silitch
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