Degree of influence, 2016: capital matters
Capital, liquidity and XVAs are still the core of quantitative research in banking
CLICK HERE TO VIEW THE TABLES
Citations provide an indication of a paper's influence. The intricate network of praise, refutation and recollection, pegged together by blocks of reference, can help identify the longest strings of provocative thought. Capital valuation, management and allocation have dominated this year's Cutting Edge section; with regulatory pressures mounting, these issues have become central to quantitative finance.
The past few years have seen a flurry of valuation adjustment
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Cutting Edge
CVA sensitivities, hedging and risk
A probabilistic machine learning approach to CVA calculations is proposed
Podcast: Alvaro Cartea on collusion within trading algos
Oxford-Man Institute director worries ML-based trading could have anti-competitive effects
Podcast: Lorenzo Ravagli on why the skew is for the many
JP Morgan quant proposes a unified framework for trading the volatility skew premium
Bridging the gap risk reloaded: modelling wrong-way risk and leverage
A model extends the counterparty risk calculation to include nonlinear and complex portfolios
Counterparty risk model links defaults to portfolio values
Fed’s Michael Pykhtin proposes using copula models to capture effects of margin calls on default risk
Harvesting the FX skew premium
Observing the vol-of-vol parameter may reveal a skew premium in FX markets
Weighting for leverage
A credit exposure model for leveraged collateralised counterparties is presented
Podcast: Olivier Daviaud on P&L attribution for options
JP Morgan quant discusses his alternative to Greeks decomposition