Articles by Mauro Cesa
Outsmarting counterparty risk with smart contracts
A digital transaction system developed by quants at DZ Bank could slash margin costs for derivatives
No silver bullet for AI explainability
No single approach to interpreting a neural network’s outputs is perfect, so it’s better to use them all
Podcast: Kondratyev and Schwarz on generating data
Market generator models may aid areas of finance where data is limited or sensitive
Podcast: Andrew Dickinson on CCPs’ defence mechanisms
Trades’ size limits, membership rules and more transparency key to avoid another CCP default
Small, speculative clearing members – are they worth the risk?
CCPs need new tools to scrutinise their members, for everyone’s good health
Hedging rate exotics, Bergomi-style
New paper by Nomura quant applies volatility model used in equities to exotic rate hedging
Quants bring ‘triptych’ of variables to risk measurement
Risk and portfolio managers at La Francaise and LFIS are squeezing more information out of stress tests
Podcast: Mats Kjaer on how trades affect the balance sheet
Bloomberg quant has developed a balance-sheet model for XVA pricing
Game theory plays well for capital management
Barclays quants use Shapley method to optimise capital allocation
Backtesting expected shortfall: mission accomplished?
A rigorous backtest for ES cannot exist, but a good approximation might do the job
Podcast: Acerbi on backtesting ES and FRTB’s patchwork rules
Banque Pictet quant explains a new backtesting method for expected shortfall
Podcast: McClelland on why you need a good MVA model
Numerix quant presents a model aimed at showing the total cost of a trade
Fishing for collateral with neural nets
SocGen quant uses deep learning technique to optimise collateral substitution
Podcast: Hans Buehler on deep hedging and harnessing data
Quant says a new machine learning technique could change the way banks hedge derivatives
Podcast: Hong on quanto derivatives and Asia’s quant drought
Credit Suisse quant talks about new paper on valuing quanto options
Podcast: Princeton’s Carmona on the future of quant education
Course director discusses machine learning explainability and reclaiming game theory from economists
Degree of influence: are machines starting to learn finance?
This year's analysis recognises a turning point in machine learning applications
Podcast: Mercurio on Libor, fraud and writing models on a plane
Post-Libor environment and financial crime detection to drive future research, says top quant
Podcast: Brigo on derivatives, AI, machine learning and more
Genuine artificial intelligence remains "very, very far away", says Imperial College's Brigo
Degree of influence, 2017: Quants dissect initial margin
Initial margin, optimal execution and applications of machine learning were the hottest topics of 2017
Piterbarg leaves Barclays; bank names new head quant
UK bank's head of quantitative analytics leaves after 10 years
Quant Congress Europe: Robotrading doesn't destabilise markets, conference hears
Automated trading not to blame for higher equity volatility during the crisis, says senior quant
New dynamic risk measure launched
Tool can capture the time evolution of market risk for energy and commodity-linked positions
Basel Committee to rethink CVA capital charge
Regulators might adapt the bond-equivalent approach amid claims the methodology will lead to perverse incentives