Modelling
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…
Risk Live playback: BlackRock’s Fishwick on buy-side risk
BlackRock’s co-head of risk discusses challenges facing firms today, including compliance and op risks
Consumer credit modelling software of the year – SAS
Risk Technology Awards 2020
Podcast: Lipton and de Prado on Covid and trading strategies
Top quants discuss collaboration and their worries about the economic recovery
Time for the standardised approaches to shine
Banks are playing a canny game of capital optimisation by toggling between internal models and regulator-set approaches
Next steps for MRM in South‑east Asia
Financial institutions across South‑east Asia face challenges assessing and measuring non-financial risks inherent in their business models, and are therefore concerned about regulatory scrutiny, transparency and the use of models within their businesses…
China bond buyers tiptoe through credit analysis minefield
State backing for domestic companies is hard to gauge, as new investors are discovering
Doyne Farmer’s next big adventure: capturing the universe
Quant fund pioneer plans to build an economic super-simulator on a global scale
Covid scenarios: finding the worst worst-case
As pandemic trashes historical data, a Risk.net tie-up with Ron Dembo’s new outfit tests promise of polling
Quantifying model performance
Quality of replicating portfolio is used to measure performance of a model
Two-factor Black-Karasinski pricing kernel
Analytic formulas for bond prices and forward rates are derived by expanding existing rate models
Bachelier – a strange new world for oil options
Model tuned to negative prices has implications for pricing, margining and delta hedging
Two quants use options pricing tools to model Covid-19
New tool aims to gauge wider cost of virus control measures
A new dynamic hedging model with futures
This paper proposes a new econometric model for the estimation of optimal hedge ratios (HRs): the Kalman filter error-correction model (KF–ECM).
To model the real world, quants turn to synthetic data
Future financial models will be built using artificially generated data
CME was ill-prepared for negative oil prices, FCMs say
Bourse draws criticism over timing of options model change; delay in sending key margin file
Quants pitch in to improve pandemic models
The finance industry’s quants are trying their hand at modelling the virus and its economic impact
Energy Risk Software Rankings: A different world
Energy Risk’s Software Rankings reveal the industry’s technology preferences in a changing world
Covid transparency would soothe markets – Harvey
“Why aren’t our policy-makers sharing their models?” asks Duke University economist
Operational uncertainty – An unavoidable challenge
The transition from Libor to a new risk-free rate has revealed a number of challenges for all financial markets participants – the nature and scope of what lies ahead is vast, impacting businesses, operations and support functions. KPMG‘s global Libor…
Coronavirus rout revives attacks on futures margining
FCMs call for permanently higher margins following “unprecedented” number of breaches
Funds try to predict behaviour of mystery investors
New EU rules on liquidity stress-testing force fund managers to hunt out clues on investors
Oil price shock triggers big margin calls
Banks and exchanges worked through weekend in anticipation of oil collapse
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…