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XVA: back to CVA?
Fundamental questions on CVA remain unanswered, writes mathematical finance head
Multicurve modelling is about to get more complex
Research into rates pricing is becoming more urgent given recent regulatory changes
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
What causes forex correlation swaps to be mispriced?
UBS quants show prices can differ by up to 25 correlation points if products modelled accurately
Podcast: Callegaro, Fiorin and Grasselli on quantization
High-dimension problems can be solved with discretisation techniques
Time to move on from risk-neutral valuation?
Risk-neutral valuation could be replaced by models with a subjectivity element, writes mathematical finance head
The bald truth about collateral haircut modelling
HSBC’s Wujiang Lou says parametric modelling of haircuts has many advantages over historical VAR
CCP stress testing gets real
Quants propose technique to generate effective, plausible CCP stress-testing scenarios
The quant factory: not muppets, but not perfect
Universities offering quant master’s programmes must adapt to stay relevant, writes UBS’s Gordon Lee
Size-discovery protocols are not on the efficient frontier
Practice improves allocations but more can be done, says Darrell Duffie
What to do about Libor?
Darrell Duffie explains why transition from Ibor-based benchmarks is necessary and feasible
The covered interest parity conundrum
Darrell Duffie explains why it’s difficult to arbitrage direct and swap-implied funding rates
Duffie: CCPs should prep to quash Sifi swap termination stays
Clearing houses need criteria for overriding stays on swap terminations, writes Darrell Duffie
FVA: off the mark
With adjustments to increase, Darrell Duffie says dealers should improve weak valuation practices
Why the leverage ratio distorts market-making
Darrell Duffie argues the rule hurts market efficiency for very safe assets
Can quants defuse the pension time bomb?
Alex Lipton argues new quantitative methods are needed to solve the looming pension crisis
The decline of the cash empire
Alex Lipton: the last line of defence between us and punitive negative rates is paper currency
Blockchain: a solution looking for a problem
While new financial technologies show considerable promise, many proposed applications are either naive or miss the mark outright
Macroeconomic theories: not even wrong
Flawed and inconsistent mainstream macroeconomic theories such as efficient market hypothesis are dangerous to society, says Alexander Lipton
Banks must embrace their digital destiny
Alexander Lipton believes the time is right for advanced digital banks to take the industry forward, and quants can lead the charge
Time to gear up for MVA
Banks must be prepared for the looming rise of non-cleared margin requirements
On derivatives and quants
Alexander Lipton on how the role of quants is adapting to the new financial environment