Modelling
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
Cutting edge technical: Carbon derivatives pricing
Carbon derivatives pricing: an arbitrageable market
Mastering the data management challenges of Solvency II
Compliance control
Cloud computing gains traction but doubts remain
A cloudy outlook
Cluster modelling – better than replicating portfolios?
Cluster power
Sponsored educational feature: Counterparty credit risk in portfolio risk management
Counterparty credit risk in portfolio risk management
Modelling the asset portfolio for Solvency II
Asset to the system
Analysing correlations under stress
Analysing correlations under stress
The battle for retail depositors
The battle for depositors
Special report: Energy end-users
Special report: Energy end-users
State Street advises institutional investors to move away from modern portfolio theory
New report suggests investors should move away from using normal return distributions under modern portfolio theory
Q&A: Blue Star Energy Solutions’ John Wengler on risk
BlueStar Energy Solutions’ chief risk officer, John Wengler, speaks to Pauline McCallion about managing energy risk in the US power markets
Q&A: Endesa’s Jaime Roman on mergers
Jaime Roman, head of risk management at Spanish utility Endesa, talks to Katie Holliday about the attitudes to risk management in Europe from the perspective of a major European utility operating in the growing Iberian markets
Q&A: Mitsubishi UFJ Securities Holdings’s Akihiro Kawabe on transparency
Risk management in Asia is arguably more difficult to estimate as each country has very different regulatory requirements and political risk. Lianna Brinded speaks to Akihiro Kawabe, executive officer and general manager of the corporate risk management…
Risk managers debate at Energy Risk USA conference
Energy risk managers from across North America convened at Energy Risk’s annual US conference in May to discuss the many challenges currently facing the sector, including derivatives regulation and carbon market growth, as Pauline McCallion reports