Quantcast – a Risk.net Cutting Edge podcast

TCA methodologies that ignore partial fills “might be off by 20% to 30%”, says Petter Kolm, professor of finance and director of the Mathematics in Finance master’s program at NYU’s Courant Institute of Mathematical Sciences

Colin Turfus, senior quant analyst at Deutsche Bank and author of ‘Risky caplet pricing with backward-looking rates’, on short-rate models and Libor’s end

Darwin’s theory of natural section could help quants detect flawed models and strategies, says Claudio Albanese, founder and head of development at Global Valuation

How the Libor transition inspired NatWest quant Vladimir Piterbarg’s latest paper on exotic derivatives valuation

Ex-JP Morgan quant Patrick Hagan discusses his latest work and the risk failures that cost the bank $6 billion in 2012.

Ben Burnett, a director of the XVA quant team at Barclays, discusses the development and application of a hedging valuation adjustment to derivatives transactions.

Star quant proposes a new model for predicting changes in bond ratings

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.

CFM’s Bouchaud on agent-based models and ESG investing

Dario Villani - 28/07/20 by Quantcast – a Risk.net Cutting Edge podcast