Modelling
Mitigating the risk of organised crime on banks' call centres
A balanced defence
Analysing common processes used to model energy prices
An introduction to energy spot price processes
ORR Innovation Awards: Insurer of the year
Zurich Financial Services
Economic turmoil taxes market risk models
Treading carefully
The volatility challenge
The volatility challenge
Quants of the year: Jesper Andreasen and Brian Huge, Danske Bank
Risk awards 2012
Cutting Edge introduction: requiem for a probabilist
Requiem for a probabilist
How insurers are dealing with internal model validation
The appropriate model
Alternative liability modelling techniques
Lessons from America
Insurers look to optimise curve-fitting technique
The learning curve
Quant Congress Europe: Peter Carr introduces ‘meta-modelling’
Morgan Stanley quant tells Risk's annual European quantitative finance event that modelling assumptions should be considered in light of calibration needs - even if this leads to discrepancies
Why insurers are turning to the least squares Monte Carlo modelling technique
The Monte Carlo method
IMF modelling work on liquidity risk points to capital hike, says Jobst
Recent analysis by the International Monetary Fund indicates that banks in the US need to raise capital to cover systemic liquidity risk threats
Sponsored statement: Murex
Trust is good, control is better – Complex model validation
Myron Scholes predicts 'golden age' for quants
Top quant sees bright future for mathematical finance as it tackles problems thrown up by the crisis
Quant Congress USA: Market efficiency is testable, claims Jarrow
Top quant claims traditional pricing models assume markets to be efficient – and says he can prove they're not
A practical anatomy of IRC modelling
Research Papers
Empirical performance of loss given default prediction models
Research Papers
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges
Jeopardy and the future of risk management
Jeopardy and the future of risk management
Variable selection in default risk models
Research Papers