Quant
BofA nabs top market risk quant from Deutsche
Move for senior risk analytics exec comes as go-live for FRTB approaches
Podcast: Andrew Dickinson on CCPs’ defence mechanisms
Trades’ size limits, membership rules and more transparency key to avoid another CCP default
In factor timing, ‘where?’ matters as much as ‘when?’
Goldman quants’ thought experiment shows timing works best for low-Sharpe strategies
Dark materials: how one academic is delving into data
David Hand shines a light on dark data and the dangers of distortion by absence
Stock-picking finds unlikely champion in ex-Winton CIO
Matthew Beddall’s Havelock restyles value investing for the big data age
How pre-trade IM calculation can optimise and reduce collateral drag
With firms under pressure to make their systems compliant with uncleared margin rules (UMR), the increase in margin requirements has put further strain on the availability of high-quality liquid assets. Mohit Gupta, senior product specialist at Cassini…
MVA taking the long road to acceptance
Four years on, the adjustment is still not a standard part of non-cleared swap pricing
Rising star in quant finance: Blanka Horvath, Aitor Muguruza and Mehdi Tomas
Risk Awards 2020: New machine learning techniques bring ‘rough volatility’ models to life
The Fundamentals of market risk rules
With the 2022 Fundamental Review of the Trading Book (FRTB) deadline looming, banks are fast coming to grips with the amount of work still to be done to achieve a successful implementation
Quants of the year: Andrei Lyashenko and Fabio Mercurio
Risk Awards 2020: Quants extend Libor market model to accommodate backward rates
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
The theoretical foundations of XVAs
Bloomberg analyses the theoretical basis of XVAs, focusing on the works and findings of its head of quantitative XVA analytics, Mats Kjaer, who emphasises the role of the capital valuation adjustment as a major driver of derivatives trading profitability…
Quants clone private equity: pale imitation or real deal?
Theory says replication can work, but investors are reluctant to give up private equity’s smoothed returns
Navigating the impact of climate risk on financial stability
As uncertainty abounds on the impact climate change may have on the industry, financial services firms must best equip themselves for potential regulatory and socioeconomic changes to ensure they maximise the opportunities of embracing new best practices…
Banks join forces on model development utility
Crisil is working with HSBC and three other banks on platform to share model-building tools
Cultural appropriation: private equity goes quant
Machines are helping venerable shops find under-the-radar performers and factors that drive them
Realising opportunities while managing conduct risk
As efforts to transition from Libor to risk-free rates ramp up, Maria Blanco and Nassim Daneshzadeh, partners in PwC’s US and UK financial services practices, discuss two critical and interconnected strategies that are front and centre for PwC clients
ESG investing: It’s not just great to be good
Investing according to environmental, social and governance (ESG) criteria can be done in various ways, with continuing development of filters and ways of analysing companies. As the market in ESG indexes and investments linked to sustainability matures,…
Machine learning, Deutsche auction and repo haircuts
The week on Risk.net, September 14–20, 2019
Asia Risk Awards 2019: The winners
The best of the best in Asia
House of the year, Hong Kong: Guotai Junan
Asia Risk Awards 2019
Derivatives house of the year, Asia ex-Japan: Credit Suisse
Asia Risk Awards 2019