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

Lipton and De Prado discuss trading strategies and Covid-19 modelling

Quants explain application latest techniques to produce synthetic data

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

Trades’ size limits, membership rules and more transparency are key to avoid another CCPs’ default, says BofA quant Andrew Dickinson

Mats Kjaer discusses a balance-sheet based model in which he derives breakeven price and valuation adjustments of a new trade for the firm and the shareholders

Model validation for ES-based risk models is not only possible but far more informative than traditional model acceptance on the basis of VAR exceedance counting, says head of valuation and quantitative solutions at Banque Pictet in Geneva