Nazneen Sherif
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Articles by Nazneen Sherif
VAR limits: dislocations put focus on other lines of defence
Wild moves in the Swiss franc and US Treasuries blindsided VAR models
KVA: banks wrestle with the cost of capital
As the bank capital burden grows, dealers are trying to price in the associated costs
Cutting edge introduction: FVA out of balance
Some quants are arguing FVA should not be part of earnings
AAD vs GPUs: banks turn to maths trick as chips lose appeal
A maths trick is taking on – and beating – fancy chips as banks try to boost their computing power
Cutting edge introduction: The only way is backward
Quants find way to streamline future value calculations for exotic
Modelling by the rules: Risk’s technical articles in 2014
A round-up of the year’s topics, trends and citations in Risk's technical articles
Expected shortfall: end of the back-test quest?
Quants propose three ways to back-test expected shortfall – each more efficient than the regulatory version
Cutting edge intro: Righting wrong-way risk
Models that describe wrong-way risk should move away from simplistic copula models, critics say.
Cutting edge intro: history in the modelling
Bloomberg quant Guyon delivers an alternative to stochastic local volatility
Cutting Edge intro: maths versus machine
Banks can use maths - rather than special chips - to boost computing speed
Cutting Edge introduction: The trouble with algorithmic execution
New set-up allows fast, tractable optimisation of trade execution, without neglecting downside risk