Quantcast – a Risk.net Cutting Edge podcast
Conversations around the latest articles and topics covered by Risk.net's Cutting Edge team.
Latest episodes
Jun 2, 2021 • 30min
Vladimir Piterbarg – 28/05/21
How the Libor transition inspired NatWest quant Vladimir Piterbarg’s latest paper on exotic derivatives valuation
May 11, 2021 • 33min
Patrick Hagan – 06/05/2021
Ex-JP Morgan quant Patrick Hagan discusses his latest work and the risk failures that cost the bank $6 billion in 2012.
Apr 1, 2021 • 27min
Ben Burnett – 21/03/21
Ben Burnett, a director of the XVA quant team at Barclays, discusses the development and application of a hedging valuation adjustment to derivatives transactions.
Mar 12, 2021 • 19min
Richard Martin – 05/03/2021
Star quant proposes a new model for predicting changes in bond ratings
Nov 27, 2020 • 29min
Matthias Arnsdorf – 24/11/20
Matthias Arnsdorf talks about how to adjust the capital valuation adjustment. The JP Morgan quant proposes an alternative calculation that would reduce the charge by an order of magnitude.
Sep 2, 2020 • 47min
Jean-Philippe Bouchaud – 01/09/20
CFM’s Bouchaud on agent-based models and ESG investing
Aug 6, 2020 • 1h
Dario Villani - 28/07/20
Dario Villani - 28/07/20 by Quantcast – a Risk.net Cutting Edge podcast
Jun 19, 2020 • 48min
Lipton and De Prado – 16/06/20
Lipton and De Prado discuss trading strategies and Covid-19 modelling
Mar 20, 2020 • 37min
Horvath and Lee – 19/03/20
Quants explain application latest techniques to produce synthetic data
Feb 6, 2020 • 27min
Alexei Kondratyev and Christian Schwarz – 16/01/19
Market generator models may aid areas of finance where data is limited or sensitive, by generating new data with the same statistical properties, say Alexei Kondratyev and Christian Schwarz
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