Quantitative analysis
Quant Guide 2020: University of Paris
Paris, France
Quant Guide 2020: Fordham University
New York City, US
Quant Guide 2020: New York University (Tandon School of Engineering)
New York City, US
Quant Guide 2020: Baruch College, City University of New York
New York City, US
Quant Guide 2020: Boston University (Questrom School of Business)
Boston, Massachusetts, US
Quant Guide 2020: University of Minnesota
Minneapolis, US
Quant Guide 2020: KU Leuven
Leuven, Belgium
Quant Guide 2020: Columbia University
New York City, US
Quant Finance Master’s Guide 2020
Risk.net’s guide to the world’s leading quant master’s programmes, with the top 25 schools ranked
Princeton tops Risk.net Quant Guide for second year running
UK’s Imperial ranks sixth; first university from mainland China features
BofA nabs top market risk quant from Deutsche
Move for senior risk analytics exec comes as go-live for FRTB approaches
Podcast: Andrew Dickinson on CCPs’ defence mechanisms
Trades’ size limits, membership rules and more transparency key to avoid another CCP default
In factor timing, ‘where?’ matters as much as ‘when?’
Goldman quants’ thought experiment shows timing works best for low-Sharpe strategies
Dark materials: how one academic is delving into data
David Hand shines a light on dark data and the dangers of distortion by absence
Stock-picking finds unlikely champion in ex-Winton CIO
Matthew Beddall’s Havelock restyles value investing for the big data age
How pre-trade IM calculation can optimise and reduce collateral drag
With firms under pressure to make their systems compliant with uncleared margin rules (UMR), the increase in margin requirements has put further strain on the availability of high-quality liquid assets. Mohit Gupta, senior product specialist at Cassini…
MVA taking the long road to acceptance
Four years on, the adjustment is still not a standard part of non-cleared swap pricing
Rising star in quant finance: Blanka Horvath, Aitor Muguruza and Mehdi Tomas
Risk Awards 2020: New machine learning techniques bring ‘rough volatility’ models to life
The Fundamentals of market risk rules
With the 2022 Fundamental Review of the Trading Book (FRTB) deadline looming, banks are fast coming to grips with the amount of work still to be done to achieve a successful implementation
Quants of the year: Andrei Lyashenko and Fabio Mercurio
Risk Awards 2020: Quants extend Libor market model to accommodate backward rates
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
The theoretical foundations of XVAs
Bloomberg analyses the theoretical basis of XVAs, focusing on the works and findings of its head of quantitative XVA analytics, Mats Kjaer, who emphasises the role of the capital valuation adjustment as a major driver of derivatives trading profitability…