Standardising stress drivers could help smooth differences between bank loss estimates
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…
Second crowd-sourced scenario exercise reveals polarised views in equities and FX
Pioneer of agent-based models warns of virus resurgence akin to 1918 Spanish flu
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.
How are investors enabling the move to the low-carbon economy?
As reserves for bad loans balloon, banks grapple with measuring Covid-era credit risk
The FMM is upgraded to model the full term structure, pricing all possible bonds and the bank account
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…
BlackRock’s co-head of risk discusses challenges facing firms today, including compliance and op risks
Risk Technology Awards 2020
Top quants discuss collaboration and their worries about the economic recovery
Banks are playing a canny game of capital optimisation by toggling between internal models and regulator-set approaches
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…
State backing for domestic companies is hard to gauge, as new investors are discovering
Quant fund pioneer plans to build an economic super-simulator on a global scale
As pandemic trashes historical data, a Risk.net tie-up with Ron Dembo’s new outfit tests promise of polling
Quality of replicating portfolio is used to measure performance of a model
Analytic formulas for bond prices and forward rates are derived by expanding existing rate models
Model tuned to negative prices has implications for pricing, margining and delta hedging
New tool aims to gauge wider cost of virus control measures
This paper proposes a new econometric model for the estimation of optimal hedge ratios (HRs): the Kalman filter error-correction model (KF–ECM).