Machine learning
Model misfires raise questions over training data
Quants wrestle with how far into the past their machine learning models should peer
Regions deploys early-warning tool for credit risk
Risk USA: system alerted US superregional to impending defaults during Covid crisis
How to successfully mitigate fraud – AI in action
Fraud is evolving, with influences spanning technical sophistication through to turmoil and crisis. Most recently, the Covid-19 pandemic has thrown an additional spanner in the works. As the drivers behind these activities are becoming more varied, the…
Risk Technology Awards 2020: Managed support services provider of the year – Exactpro Systems
Co-founder and chief executive of Exactpro Systems, Alexey Zverev, discusses the challenges of maintaining client systems in the current environment, the launch of its new open source microservices-based test automation platform, th2, and how machine…
Machine learning hedge strategy with deep Gaussian process regression
An optimal hedging strategy for options in discrete time using a reinforcement learning technique
AML bill will swamp financial crime teams, banks warn
Proposed US legislation could force firms to run new and old systems in parallel, stretching resources
Danske quants discover speedier way to crunch XVAs
Differential machine learning produces results “thousands of times faster and with similar accuracy”
Alt data aims to shake up credit scoring business
Young firms, using machine learning methods to scrape consumer info, challenge established agency model
Banks welcome US overhaul of AML rules
Proposals signal shift to risk-based approach to financial crime detection
Differential machine learning: the shape of things to come
A derivative pricing approximation method using neural networks and AAD speeds up calculations
How energy firms can keep up with the pace of digital change
In this webinar, a panel discusses what organisations should keep in mind as they embark on their digitalisation journey, the challenges of which they need to be aware to be aware and what is next on the horizon
How Shell integrated FX algos into its corporate treasury mix
Interview: oil giant puts up to 50% of spot flows through algos, explains FX head Michael Dawson
Podcast: CFM’s Bouchaud on agent-based models and ESG investing
Hedge fund quant, and Risk.net’s new columnist, shares his unique take on markets
The data anonymiser
Non-parametric approaches anonymise datasets while reproducing their statistical properties
Lessons from the past – Overcoming historical tick-data challenges with the cloud (Part II)
The panel at a recent Risk.net webinar in association with Refinitiv outlined some of these challenges, including the expense of data cleaning, maintenance and storage; access to relevant data; and dataset integration. They agreed that cloud-based…
Podcast: Dario Villani on managing money with ML
Duality’s CEO discusses key to machine learning success, and the influence of Renaissance’s Jim Simons
Study suggests banks may be better off with simpler VAR models
Non-parametric VAR models perform well in calm markets, but miss the mark in volatile periods
Spotting co-movement breakdowns with neural networks
Autoencoders can detect changes in relationship between assets in real time
Driving anti-money laundering efficiency gains using artificial intelligence
Anti-money laundering (AML) is expensive and labour-intensive, and artificial intelligence (AI) can offer improved efficiency gains. Could they be a match made in heaven? This Risk.net webinar, in association with NICE Actimize, took place amid the…
Consumer credit modelling software of the year – SAS
Risk Technology Awards 2020
Integrating macroeconomic variables into behavioral models for interest rate risk measurement in the banking book
This paper proposed a nonparametric approach to decompose a macroeconomic variable into an interest-rate-correlated component and a macro-specific component.
Operational risk – Unleashing the power of AI to mitigate financial crime and manage conduct risk
Big data, data mining, machine learning and artificial intelligence have revolutionised how industry manages and mitigates risk. In light of the Covid-19 pandemic, what impact has this had on financial crime, what risks does remote working pose and how…
Banks race to adapt AML systems for the coronavirus age
Lenders expect regulatory lashing if controls fail to keep pace with changes in criminal behaviour
To model the real world, quants turn to synthetic data
Future financial models will be built using artificially generated data