Quants achieve more speed by reducing number of dimensions in price calculations
Comprehensive Capital Analysis and Review consistent yield curve stress testing: from Nelson–Siegel to machine learning
This paper develops different techniques for interpreting yield curve scenarios generated from the FRB’s annual CCAR review.
Differential PCA is introduced to reduce the dimensionality in derivative pricing problems
A FAVAR modeling approach to credit risk stress testing and its application to the Hong Kong banking industry
In this paper, a credit risk stress testing model based on the factor-augmented vector autoregressive (FAVAR) approach is proposed to project credit risk loss under stressed scenarios.
In this paper, the eigendecomposition of a Toeplitz matrix populated by an exponential function in order to model empirical correlations of US equity returns is investigated.
Diversification puts portfolios in the middle of the pack – where investors feel safe, writes Antonia Lim
Standard Chartered quant proposes machine-learning technique to better capture rate dynamics
Artificial neural networks can replace PCA for yield curves analysis
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Kharen Musaelian, Santhanam Nagarajan and Dario Villani show how to build robust risk metrics for bond returns
The authors of this paper propose a stock selection method based on a variable selection method used with PCA in multivariate statistics.
Meucci, Santangelo and Deguest introduce a risk decomposition method based on minimum-torsion bets