Quantcast – a Risk.net Cutting Edge podcast

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

Numerix's Andrew McClelland talks to Mauro Cesa in relation to an upcoming Risk.net paper – MVA: future IM for client trades and dynamic hedges

Quants talk about new technique that can model wrong-way risk better

Quant says a new machine learning technique could change the way banks hedge derivatives

How quantum theory could aid portfolio construction

Credit Suisse quant talks about new paper on valuing quanto options