Quantcast – a Risk.net Cutting Edge podcast
Quantcast – a Risk.net Cutting Edge podcast
Conversations around the latest articles and topics covered by Risk.net's Cutting Edge team.
Episodes
Mentioned books
Oct 16, 2019 • 17min
Mats Kjaer – 03/10/19
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
Aug 30, 2019 • 35min
Carlo Acerbi – 28/08/19
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
Aug 7, 2019 • 34min
Andrew McClelland – 31/07/19
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
Jul 3, 2019 • 18min
Chung and Gregory – 19/06/19
Quants talk about new technique that can model wrong-way risk better
Jun 5, 2019 • 16min
Hans Buehler – 28/05/19
Quant says a new machine learning technique could change the way banks hedge derivatives
May 31, 2019 • 47min
Venturelli and Kondratyev – 24:05:19
How quantum theory could aid portfolio construction
May 1, 2019 • 20min
George Hong – 29/04/19
Credit Suisse quant talks about new paper on valuing quanto options
Apr 12, 2019 • 23min
Mathieu Rosenbaum – 11/04/19
Combination of rough volatility and the classical Heston model gives promising results
Mar 21, 2019 • 42min
Mercurio and Henrard – 19/03/19
Marc Henrard, a managing partner at muRisQ Advisory, visited our London offices to record a podcast on the challenges of Libor transition as part of benchmark reform. He was joined over the phone by Fabio Mercurio, head of the quant analytics team at Bloomberg.
Feb 25, 2019 • 47min
René Carmona – 21/02/19
Course director discusses machine learning explainability and reclaiming game theory from economists
