Quant
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 16–20, 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
Asia structured products house of the year: Societe Generale
Asia Risk Awards 2019
Quant house of the year: Credit Suisse
Asia Risk Awards 2019
Backtesting expected shortfall: mission accomplished?
A rigorous backtest for ES cannot exist, but a good approximation might do the job
Fishing for collateral with neural nets
SocGen quant uses deep learning technique to optimise collateral substitution
AllianceBernstein uses AI to sidestep ‘growth trap’
Random forest model aims to sort success stories like Amazon and Netflix from fast-growth losers
Risk Technology Awards 2019: Making machines more helpful
Machine learning can be too efficient; now, vendors are looking for ways to make it more accurate. Clive Davidson looks at the stories behind this year’s Risk Technology Awards
How AI could tear up risk modelling canon
BlackRock, MSCI, LFIS among firms looking to replace traditional, linear risk models
A tech-driven transformation
A panel of experts explores how greater collaboration between risk and finance teams can garner significant benefits and add value, how technological innovation is making the regulatory landscape more complicated to navigate and produce transformative…
Model risk management transformation
Financial institutions have been maturing their approaches to MRM and – as models become more complex and pervasive, and regulatory expectations continue to increase – leading financial institutions seek faster and further movement. Ashutosh Nawani, head…
Model risk managers: banking’s future VIPs
Risk Live: Machine learning models are changing the risk profile of banks, says UBS CRO
One size does not fit all – Adapting to meet investment goals
Guillaume Arnaud, global head of quantitative investment strategies (QIS), and Sandrine Ungari, head of cross-asset quantitative research at Societe Generale, explore the benefits of QIS for investors, why flexibility is crucial for investors to meet…
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Cleaning noisy data ‘almost 70%’ of machine learning labour
Quants flag signal-to-noise ratio as key to reducing overfitting risk