Modelling
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 crowdsourced scenario exercise reveals polarised views in equities and FX
Ratings can still sharpen credit risk picture
Study shows even the most modern default models benefit from adding credit rating information
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
To make sense of complex systems, send in the agents
Standard quant models cannot comprehend a radically complex reality, writes Jean-Phillippe Bouchaud
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?
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
IFRS 9 and the loan loss lottery
As reserves for bad loans balloon, banks grapple with measuring Covid-era credit risk
Why investors are stuck with flawed VAR models
Buy-side risk survey: VAR wasn’t much use in March, but it is ingrained in the industry
Altman: mega-bankruptcy wave coming
Credit conditions were worsening before Covid, research finds
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…
How adaptive models got AlphaSimplex through the Covid crisis
System sped up moves out of stocks into commodities and bonds
Covid-19 and the credit crisis
This webinar discusses the credit risk challenges facing energy intensive industrials, energy producers and traders
High-order approximations to call option prices in the Heston model
In the present paper, a decomposition formula for the call price due to Alòs is transformed into a Taylor-type formula containing an infinite series with stochastic terms. The new decomposition may be considered as an alternative to the decomposition of…
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
Studies test investors’ risk aversion after crash
Researchers use March tumult to investigate psychology of risk-taking
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