Modelling
What Libor reform will change – and what it won’t
What Libor reform will change – and what it won’t
Physics versus finance: Science strikes back
Science strikes back
Adjoint Greeks made easy
Adjoint Greeks made easy
Quant Congress Europe: Quants should take share of blame for crisis
Quants should take their share of the blame for the crisis, and should focus on less mathematically complex models, said some panellists – although not everyone at Quant Congress Europe agreed
Is risk modelling keeping up with the energy market?
Lean times in energy and commodity derivatives trading have caused a cutback in the amount of time and resources spent on energy risk modelling – a worrying trend that could leave firms unprepared for future market challenges, argue some experts. Mark…
Insurers explore 'risk geographies' for capital modelling
Risk geographies
Cutting Edge introduction: Computation, computation, computation
Computation, computation, computation
Senior insurance executives do not understand economic capital models, KPMG survey finds
Ineffective use of economic capital frameworks 'could obscure true risk profile of firm'
Data challenge for Asia’s disparate derivatives markets
Plugging the gaps
Technology: Cloud on the horizon?
Cloud on the horizon?
Applied risk management series: modelling spreads in energy markets
Implications for valuation and risk management of spread options
Risk 25 firms of the future: Bank of England
CCPs will not be too big to fail
A model future (part II)
A model future (part II)
Don't blame the quants, says Merton
Quantitative models were unfairly criticised in the aftermath of the financial crisis, says legendary quant and co-creator of the Black-Scholes equation, but there’s plenty for quants to work on in the current environment
Risk.net poll: Basel Committee wrong to be sceptical of capital models
Readers of Risk.net vote two to one against the Basel Committee's new-found distrust of internal capital modelling
Longevity modelling must evolve
Longevity modelling must evolve
OCC faces VAR vetting questions over JP Morgan loss
US regulator is responsible for signing off models used for regulatory capital purposes
Marcelo Cruz: Robust estimation
A number of recent papers submitted to the Journal of Operational Risk on robust estimation reflect the concerns of the op risk modelling community about the reliability of parameter estimation in severity distributions
JP Morgan’s ‘London whale’ losses spark VAR debate
In-house probe will look at role of internal model change, among other factors
Mitigating the risk of organised crime on banks' call centres
A balanced defence