Quantitative analysis
Trust in clusters: a new approach to stress testing
Search for plausible stress scenarios leads Natixis risk managers in a new direction
Algorithmic execution: Harnessing technology to manage risk
Sponsored feature: HSBC
When it comes to correlation, cleaning is a chore that pays
Recent trends in research may help firms obtain reliable correlations from limited data
Top quant Peter Carr leaves Morgan Stanley
Global head of market modelling is no longer with the bank, say industry sources
New research shows FVA is not part of P&L – Duffie
Pricing experts defend practices that resulted in huge FVA losses
South African banks may pool quants to tackle FRTB
Senior trader fears banks don't have quant resources to meet FRTB deadline
Quant of the year: Alexandre Antonov
Numerix quant revolutionises negative rates modelling
Quant Ideas: market-making, risk and information in commodities
High volatility and noisy data sets have profound implications on risk management in commodity markets
Revised Basel III better reflects bank risk, research finds
Study says 2013 capital rules more in line with actual risk, but can be easily gamed
Year of the XVAs: top technical papers and authors of 2015
Funding valuation adjustment under the microscope, along with other, newer XVAs
Paper of the year: JD Opdyke
New technique may help limit errors in AMA capital estimates
Quant ideas: Strategic versus tactical risk management
The susceptibility of enterprise risk tools to poor quality data is a major issue
Internal transfer price optimisation for integrated energy firms
A framework that demonstrates optimal internal pricing will deviate from ‘arm’s length principle'
Video: Enron 'best' and 'lowest' career moment, says Kaminski
Former research head gives wide-ranging interview on past and present of energy markets
Cutting Edge: Co-simulation of risk factors in power markets
A simple but realistic model to co-simulate the time series of temperature, electricity load and prices is proposed
Citi exec laments plight of the quants
Quant Congress USA: Quant departments have become “sterile” and “dumbed-down”
Quant fund approaches need refining in China market
Rich pickings are available but market fundamentals differ from Europe and the US
Investors want to know logic behind machine learning
Big data tools a hard sell without clear explanations, says Winton researcher
Quant ideas: Do we need realistic models?
Realistic models not necessarily a prerequisite for successful risk management
Anatomy of a model: Valuation of physical assets
Quant ideas paper dissects layers of valuation models for physical assets
Robert Litterman: lessons from the quant quake
Ex-Goldman partner says size, crowding and equity risk are bad for quant funds
Quant ideas: Building a better LNG forward curve
An overview of effective methods for constructing long-term LNG forward price curves
Piterbarg leaves Barclays; bank names new head quant
UK bank's head of quantitative analytics leaves after 10 years