Quantitative finance
WHAT IS THIS? Quantitative finance is a field of applied mathematics concerned with financial markets. In banking, it spread from the pricing of derivatives to the modelling of credit, market and operational risks. Today’s quantitative analysts are scattered across a range of functions, from risk management and model validation, to data science, algorithmic trading and regulatory compliance.
Quant Guide 2019: University College London
London, UK
Quant Guide 2019: King’s College London
London, UK
Quant Guide 2019: University of Oxford
Oxford, UK
Quant Guide 2019: University of Waterloo
Waterloo, Ontario, Canada
Quant Guide 2019: Erasmus University Rotterdam
Rotterdam, Netherlands
Quant Guide 2019: University of Florence
Florence, Italy
Quant Guide 2019: NYU Tandon
Tandon School of Engineering, New York City, New York, US
Quant Guide 2019: City, University of London
Cass Business School, London, UK
Quant Finance Master’s Guide 2019
Risk.net’s guide to the world’s leading quant master’s programmes, featuring a ranking of the top 15 schools
Princeton tops inaugural Risk.net quant master’s ranking
Course sees off competition from Berkeley’s Haas and three New York schools
Degree of influence: are machines starting to learn finance?
This year's analysis recognises a turning point in machine learning applications
When bonds struggle, so does alt premia – research
Ties between alternative risk premia and fixed income closer than appreciated
From trend follower to trailblazer
New fund targets commodities others are “scared” to trade – from asphalt to glass panels
The machine shines in Hong Kong A-share fund
Strategy run by ChinaAMC (HK) combines machine learning with human judgement to outdo rivals
UBS hires Moussa from Credit Suisse for Asia QIS role
Imene Moussa to work on QIS and off-balance-sheet structuring across the region
Humans struggle to keep pace with machine learning
Banks and regulators grapple with ‘XAI’ challenge
What’s in the box? Bad year reveals alt premia’s gaps
Average fund is down almost 5%, but gap between best and worst performers is 14%
Lesson from alt premia’s horrible year: be patient
Investment approach’s diversification benefits can’t be relied on in the short term
Banks discreetly seek personnel to mine alt data riches
Citi, Credit Suisse, HSBC and Morgan Stanley are hiring data scientists for a plethora of new initiatives
Ryan Labs harvests ‘flight-to-quality premium’
Defensive risk premia strategy buys ultra-long-dated Treasury futures when markets panic
Risk transformation of a zero-subsidy wind portfolio
Joaquin Narro analyses the hedging of a hypothetical zero-subsidy wind portfolio with base load products in the futures markets
Rogue traders versus value-at-risk and expected shortfall
VAR and ES are ineffective to deter rogue trading
Curbing rogue behaviour
Regulators should try to combat rogue trading by measuring traders’ risk-taking differently, say quants
Market mean reversion takes longer than expected – CFM quants
Research on how long trends last could help avoid fallout from drawdowns like February’s