Modelling
Banks aim to close op risk stress test capital gap
Standardising stress drivers could help smooth differences between bank loss estimates
Cliff effect might demand risk calculation agility until Libor cessation
Didier Loiseau, global head of rates, bonds and credit at Murex, examines the problems that originate from the spread calculation technicality stipulated by the new International Swaps and Derivatives Association Ibor fallback supplement, which…
Covid scenarios, pt II: apocalypse how?
Second crowd-sourced scenario exercise reveals polarised views in equities and FX
NYU’s Epstein on fear and complacency in the age of Covid
Pioneer of agent-based models warns of virus resurgence akin to 1918 Spanish flu
Vol decay and correlation flips: CFM’s take on the Covid crisis
Market bounce-back blindsided quant investment firm – and others
The use of range-based volatility estimators in testing for Granger causality in risk on international capital markets
This study utilizes the extreme value theory (EVT) approach to compare the performance of a wide variety of range-based volatility estimators in the analysis of causality in risk between emerging and developed markets.
Podcast: Investing, climate risk and energy firms
How are investors enabling the move to the low-carbon economy?
IFRS 9 and the loan loss lottery
As reserves for bad loans balloon, banks grapple with measuring Covid-era credit risk
Libor replacement II: completing the generalised FMM
The FMM is upgraded to model the full term structure, pricing all possible bonds and the bank account
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).