Requirement to include exposure spikes linked to swap payments within EEPE models prompts blowback
Europe’s wettest summer in a century prompts asset managers to calculate flood risk for real estate
News feeds are factored into models to predict credit events
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
Machine learning could help with loan decisions – but only if banks can explain how it works. And that’s not easy
Reducing historical lookback period from two years to one shaves £5m off bank’s average VAR
Darwin’s theory of natural selection could help quants detect flawed models and strategies
Lender joins other banks in translating physical and transition threats into controls framework
Converging financial and corporate scenarios would provide better data for stress-testing
VAR RWAs should have been ¥122 billion higher than originally stated at end-December
Buy-siders look to machine learning for clues on the effect of rising prices on portfolios
Intelligent robots can value complex derivatives in minutes rather than hours
Dealers say agencies’ request for info could prompt new rules that stifle model innovation
As the deadline to Libor cessation approaches, Liang Wu, executive director of financial engineering and head of cross-asset product management at Numerix, presents a series of market themes that warrant closer inspection
This paper proposes an approach whereby the loss function regularizes the errors in prediction in different ways.
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
This paper analyzes the relationship between option risk and expected return from the perspective of the underlying beta, and estimates the degree of correlation.
The impact of energy costs on industrial performance: identifying price and quantity effects in the aluminum industry using a data envelopment analysis approach
The authors build a frontier function model with technical and cost efficiency measures to assess the impact of energy costs on competitiveness in the aluminum industry, a heavy energy consumer, by identifying what may be attributed to price and quantity…
Copulas can still deliver if chosen with due attention to intuition and data, says quant fund chair
Technologist talks artificial intelligence, angel investing and accidentally contributing to the Basel framework
The author presents four methods to estimate the sample variance of the accuracy ratio and the area under the curve.
The quality of a tail model, which is determined by data from an unknown distribution, depends critically on the subset of data used to model the tail. Based on a suitably weighted mean square error, the authors present a completely automated method that…
In this paper, a new method for computing the standard errors (SEs) of returns-based risk and performance estimators for serially dependent returns is developed.
Dynamically adjusting margin add-ons could reduce cyclical funding demands