Research
Liquidity risk learnings in the banking industry
Sidhartha Dash, chief researcher at Chartis Research (part of Risk.net's digital network), talks to Steve Pemberton, chief executive of Coherent Europe, about the dynamics and challenges surrounding liquidity risk in the banking industry
No link between geopolitical risk signals and returns – hedge fund
Gauges of geopolitical risk are better at predicting volatility than equity returns, research from XAI finds
‘Trend’ triumphs in uncertainty, but not as it wanes – study
Quant investing approach thrives in extremes of market uncertainty; calm hinders it
From ‘cottage industry’ to quant-ready: prop data at JP Morgan
Unique information now “table stakes” for brokers as they compete for new clients
The rise of non-financial risks
Naeem Siddiqi, senior adviser, risk management, risk research and quantitative solutions at SAS, discusses the effectiveness of stress-testing as a risk management tool in rapidly changing markets, the role of new technologies in developing robust data…
Earnings call analysis 2.0 goes beyond good and bad words
Quants develop new ways to extract signals from media-savvy chief executives and their financial statements
Banks strive for machine learning at quantum speed
Embryonic work on quantum neural networks raises hope of faster, more accurate models
Princeton, Baruch and Berkeley top for quant master’s degrees
Eight of 10 leading schools for quantitative finance programmes are based in US, latest rankings show
New breed of NLP model learns finance better, study finds
Models trained by looking at sentences beat conventional approaches that contextualise words
An old model can shed new light on how flows shape prices
Market microstructure theory may also explain long-term patterns in stock markets
Market’s mystery jumps might be predictable after all
Endogenous volatility has a tell-tale pattern, quants find
Seismology models sound out safe ground for DG Partners
Quake technology helps quant firm time entry and exit points – and buck trend-following trend
Research house of the year: Societe Generale
Risk Awards 2021: quant group’s tail-risk hedging strategies ‘saved the books’ of some big clients
The hidden effects of stress on risk takers
Trader turned neuroscientist urges financial firms to monitor trader physiology, hire fewer physicists
Energy Risk Asia Awards 2020: The winners
BNPP wins top derivatives award, with Macquarie scooping environmental products house
Broken backtests leave quant researchers at a loss
As historical data loses relevance, quants must find new ways to validate their theories
Ratings can still sharpen credit risk picture
Study shows even the most modern default models benefit from adding credit rating information
NYU’s Epstein on fear and complacency in the age of Covid
Pioneer of agent-based models warns of virus resurgence akin to 1918 Spanish flu
Funds turn to stress-testing in fast-forward and reverse
Buy-side risk survey: Covid-19 is changing the way investors think about stress tests
Good citizenship can signal better creditworthiness – study
Environmental and social behaviour predicts credit ratings in North America – less so in Europe
Altman: mega-bankruptcy wave coming
Credit conditions were worsening before Covid, research finds
Studies test investors’ risk aversion after crash
Researchers use March tumult to investigate psychology of risk-taking
Two quants use options pricing tools to model Covid-19
New tool aims to gauge wider cost of virus control measures
Carbon tax spike could spur global recession – S&P
Higher carbon prices would trigger widespread industry defaults, says agency research unit