Machine learning
Computer says no: combating bias in machine learning models
Proposed US law on algo lending targets in-built discrimination, say modelling experts
Allianz Global Investors adopts NLP signals in equities
Move to tackle unstructured data starts with sell-side analyst reports
Deploying agile analytics in the fight against fraud
Financial firms are under pressure to tackle the widespread problem of financial fraud. As the speed, scale and sophistication of fraudulent activity grows, a panel of financial crime experts reveal how firms can develop an agile analytics capability to…
Harnessing AI to achieve Libor transition
Chris Dias, principal at KPMG, explains how the vast increase in accuracy that artificial intelligence (AI) offers when dealing with large volumes of complex agreements is crucial to exploring the market opportunities and mitigating the risks of the…
Machine learning, Deutsche auction and repo haircuts
The week on Risk.net, September 14–20, 2019
Neuberger sidesteps option gap risk using AI and credit card data
Random-forest algorithm run on retail transaction data forewarns of earning shocks
Some quant shops doomed to ‘struggle’ – López de Prado
Theory-first firms must modernise their methods or wither, says machine learning expert
ETF provider of the year: Yuanta SITC
Asia Risk Awards 2019
An advanced hybrid classification technique for credit risk evaluation
In this paper, the authors employ a hybrid approach to design a practical and effective CRE model based on a deep belief network (DBN) and the K-means method.
NLP sniffs out contracts harbouring Eonia as fallback
Test finds wide range of 4,000 Libor euro contracts examined could end up in the flagging Eonia rate
Pimco deploys neural net model in agency bonds
Old models for $7 trillion mortgage market overstate risk in some cases, asset manager says
Goldman improves execution ‘by 50%’ with new algos
Bank uses neural networks and other AI tools to cut slippage in stock trading
The machines are coming for your pricing models
Deep learning is opening up new frontiers in financial engineering and risk management
The rise of the robot quant
The latest big idea in machine learning is to automate the drudge work in model-building for quants
Margin reform – From challenge to opportunity
SmartStream Technologies explores how, as new initial margin regulations from the Basel Committee on Banking Supervision and the International Organisation of Securities Commissions become a pressing concern for more firms, technology service providers…
Deep hedging and the end of the Black-Scholes era
Quants are embracing the idea of ‘model free’ pricing and hedging
Optimal posting of collateral with recurrent neural networks
Pierre Henry-Labordère applies neural networks to a control problem approach for managing collateral
QMA’s Dyson: AI a ‘wonderful marketing concept’
Quant firm sceptical about using artificial intelligence to seek out tradable strategies
GAM Systematic’s Ewan Kirk is sticking to his guns
Have markets changed? “They always do,” says quant fund CIO
AllianceBernstein uses AI to sidestep ‘growth trap’
Random forest model aims to sort success stories like Amazon and Netflix from fast-growth losers
Finra plans machine learning push against market rigging
ML trained to find spoofing and layering
PanAgora uses NLP to cut through Chinese cyber speak
Fund builds Mandarin-reading algo to gauge sentiment of retail investors