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.
Quants turn to machine learning to model market impact
JP Morgan, Bloomberg and Portware among those applying AI to long-standing problem
Mifid, machine learning and swaps compression
The week on Risk.net, March 10–16, 2017
A not-so-secret recipe for success: Beacon's cloud-based quant platform
Sponsored Q&A: Beacon
Quant jobs at risk from tech advances
But humans and 'intelligent' computers a strong combination, hedge fund managers say
HAL to pay: where hedge funds think AI can really work
Some funds using artificial intelligence already; others see obstacles to its success
Senior quant Green swaps Lloyds for Scotiabank
Green to lead development of new XVA pricing model at Canadian lender
Algorithmic execution: Harnessing technology to manage risk
Sponsored feature: HSBC
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
Year of the XVAs: top technical papers and authors of 2015
Funding valuation adjustment under the microscope, along with other, newer XVAs
Quant ideas: Strategic versus tactical risk management
The susceptibility of enterprise risk tools to poor quality data is a major issue
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
Piterbarg leaves Barclays; bank names new head quant
UK bank's head of quantitative analytics leaves after 10 years
Battery storage to transform power market models
Technological breakthrough could rewrite the rules of power trading
Energy trading firms may rue the decline of quants
New areas for quant research are in abundance, but resources are not
Risk management sweatshops? Number-crunchers move to satellite offices
From Berlin to Birmingham, from Tampa Bay to Dallas, banks have tried to boost their risk management resources – while keeping a lid on expense – by building teams in relatively low-cost cities. But do these far-flung offices improve performance? Joe…
Risk USA: Hire more quants in compliance, says SEC official
SEC official warns compliance teams at quant funds lack qualifications and knowledge to effectively monitor trading strategies
