This study employs a competing risks approach to examine the rating migrations of US financial institutions (FIs) during the period 1984–2006.
Changing regulations and new accounting standards are creating enormous challenges for financial organisations. Thorsten Hein, principal product marketing manager, risk research and quantitative solutions at SAS, explores why, to successfully meet these…
Guillaume Arnaud, global head of quantitative investment strategies (QIS), and Sandrine Ungari, head of cross-asset quantitative research at Societe Generale, explore the benefits of QIS for investors, why flexibility is crucial for investors to meet…
Provisions rise at Scotiabank and BMO; drop off at TD Bank, CIBC and RBC
Buy-siders limit usage of deep learning techniques due to haziness over their inner workings
Professor of finance talks about using equity, index and crude oil options to forecast spot prices
This paper incorporates volatility forecasting via the exponentially weighted moving average model into traditional tolerance limits for pair-trading strategies, and illustrates how the proposed method helps uncover arbitrage opportunities via the daily…
In this paper, the authors study an evolutionary framework for the optimization of various types of neural network structures and parameters.
In this paper, the author's aim is to empirically analyze the numerical quantification of model risk, yielding exact buffers in currency amounts (for a given model uncertainty).
Some studies say the algorithms beat the common models; other studies say the opposite
Fulcrum Asset Management is running tests to see if fresher data can help improve factor allocations
Techniques include using many datasets, relying on proxies and continually reviewing models
Four of the five largest Canadian lenders saw provisions rise, with BMO the only outlier
This paper proposes an extended conditional autoregressive range (EXCARR) model to describe the range-based volatility dynamics of financial assets.
Latest job changes across industry
The aim of this paper is to create systematic trading strategies built around several financial crisis indicators, which are based on the spectral properties of market dynamics.
Confusing processes turn tests into template-filling exercise, says Garp’s Jo Paisley
Systemic risk in the financial system: capital shortfalls under Brexit, the US elections and the Italian referendum
This paper uses SRISK to quantify the estimated capital shortfalls of financial institutions under three relevant stress events that occurred in 2016: Brexit, the Trump election and the Italian referendum.
In its latest margin survey, the International Swaps and Derivatives Association reported that initial margin (IM) collected by the top 20 firms increased by 22% to $130.6 billion at the end of 2017. As new transactions become subject to IM requirements,…
Three upcoming pieces of legislation will have significant effects on balancing trades for the UK, says energy expert