Whether inflation rises or falls, crowd-sourced scenarios forecast huge range of outcomes
BofA quant’s model considers the correlation between market shocks and counterparty defaults
Independent component analysis is proposed as an alternative to principal component analysis
Asset managers reappraise decades-old technique to gauge downside risks amid fears of volatile 2022
Risk USA: managers cite Covid, repo crisis and geopolitical risks as examples of model failures
Risk USA: distribution of extreme outcomes “has gotten broader and wider”, says Nick Silitch
Mark Spitznagel won’t reveal how he made a 4,144% return, but he does discard plenty of rival trades
Conservative capital buffers may not be enough to protect against tail events
Hedge fund quant, and Risk.net’s new columnist, shares his unique take on markets
Standard quant models cannot comprehend a radically complex reality, writes Jean-Phillippe Bouchaud
CCPs need new tools to scrutinise their members, for everyone’s good health
One clearing member's disproportionately large position increases the credit risk for all CCP members
David Hand shines a light on dark data and the dangers of distortion by absence
Alvin Stroyny and Tim Wilding build a dynamic risk framework for multi-asset global portfolios
Funding and credit risk with locally elliptical portfolio processes: an application to central counterparties
In this paper, the authors extend the scaling approach of Andersen et al (2017a) from a model driven by Brownian motion to one driven by an arbitrary isotropic Lévy process.
Igor Halperin proposes new approach to compute probabilities of heavy-tailed distributions
In this paper, the authors provide a comprehensive review of the different approaches developed to model operational risk, specifically focusing on the actuarial approach.
Casting doubt on science is an unwise risk management strategy
This paper discusses a VaR time-scaling approach based on fitting a distribution function so as to apply a Monte Carlo simulation to determine long-term VaR.
Tales of tails