Colin Turfus – 05/08/21
Colin Turfus, senior quant analyst at Deutsche Bank and author of ‘Risky caplet pricing with backward-looking rates’, on short-rate models and Libor’s end
Aug 05, 2021•17 min
Quantcast – a Risk.net Cutting Edge podcast
Conversations around the latest articles and topics covered by Risk.net's Cutting Edge team.
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Episodes
Claudio Albanese – 21/06/21
Darwin’s theory of natural section could help quants detect flawed models and strategies, says Claudio Albanese, founder and head of development at Global Valuation
Jul 14, 2021•29 min
Vladimir Piterbarg – 28/05/21
How the Libor transition inspired NatWest quant Vladimir Piterbarg’s latest paper on exotic derivatives valuation
Jun 02, 2021•30 min
Patrick Hagan – 06/05/2021
Ex-JP Morgan quant Patrick Hagan discusses his latest work and the risk failures that cost the bank $6 billion in 2012.
May 11, 2021•33 min
Ben Burnett – 21/03/21
Ben Burnett, a director of the XVA quant team at Barclays, discusses the development and application of a hedging valuation adjustment to derivatives transactions.
Apr 01, 2021•27 min
Richard Martin – 05/03/2021
Star quant proposes a new model for predicting changes in bond ratings
Mar 12, 2021•19 min
Matthias Arnsdorf – 24/11/20
Matthias Arnsdorf talks about how to adjust the capital valuation adjustment. The JP Morgan quant proposes an alternative calculation that would reduce the charge by an order of magnitude.
Nov 27, 2020•29 min
Jean-Philippe Bouchaud – 01/09/20
CFM’s Bouchaud on agent-based models and ESG investing
Sep 02, 2020•47 min
Dario Villani - 28/07/20
Dario Villani - 28/07/20 by Quantcast – a Risk.net Cutting Edge podcast
Aug 06, 2020•1 hr
Lipton and De Prado – 16/06/20
Lipton and De Prado discuss trading strategies and Covid-19 modelling
Jun 19, 2020•48 min
Horvath and Lee – 19/03/20
Quants explain application latest techniques to produce synthetic data
Mar 20, 2020•37 min
Alexei Kondratyev and Christian Schwarz – 16/01/19
Market generator models may aid areas of finance where data is limited or sensitive, by generating new data with the same statistical properties, say Alexei Kondratyev and Christian Schwarz
Feb 06, 2020•27 min
Andrew Dickinson – 09/01/20
Trades’ size limits, membership rules and more transparency are key to avoid another CCPs’ default, says BofA quant Andrew Dickinson
Jan 15, 2020•29 min
Mats Kjaer – 03/10/19
Mats Kjaer discusses a balance-sheet based model in which he derives breakeven price and valuation adjustments of a new trade for the firm and the shareholders
Oct 16, 2019•17 min
Carlo Acerbi – 28/08/19
Model validation for ES-based risk models is not only possible but far more informative than traditional model acceptance on the basis of VAR exceedance counting, says head of valuation and quantitative solutions at Banque Pictet in Geneva
Aug 30, 2019•35 min
Andrew McClelland – 31/07/19
Numerix's Andrew McClelland talks to Mauro Cesa in relation to an upcoming Risk.net paper – MVA: future IM for client trades and dynamic hedges
Aug 07, 2019•34 min
Chung and Gregory – 19/06/19
Quants talk about new technique that can model wrong-way risk better
Jul 03, 2019•18 min
Hans Buehler – 28/05/19
Quant says a new machine learning technique could change the way banks hedge derivatives
Jun 05, 2019•16 min
Venturelli and Kondratyev – 24:05:19
How quantum theory could aid portfolio construction
May 31, 2019•47 min
George Hong – 29/04/19
Credit Suisse quant talks about new paper on valuing quanto options
May 01, 2019•20 min
Mathieu Rosenbaum – 11/04/19
Combination of rough volatility and the classical Heston model gives promising results
Apr 12, 2019•23 min
Mercurio and Henrard – 19/03/19
Marc Henrard, a managing partner at muRisQ Advisory, visited our London offices to record a podcast on the challenges of Libor transition as part of benchmark reform. He was joined over the phone by Fabio Mercurio, head of the quant analytics team at Bloomberg.
Mar 21, 2019•42 min
René Carmona – 21/02/19
Course director discusses machine learning explainability and reclaiming game theory from economists
Feb 25, 2019•47 min
Chris Kenyon and Mourad Berrahoui – 17/01/19
Chris Kenyon and Mourad Berrahoui discuss the pitfalls of PFE and propose a replacement to the existing credit risk measure
Jan 18, 2019•23 min
Dominique Bang – 29/11/18
Dominique Bang discusses a novel method to mix a pure stochastic volatility process with a generic local volatility function, using Lamperti’s transform
Nov 30, 2018•14 min
Adolfo Montoro – 04/10/18
Adolfo Montoro, a director in the market risk management and risk methodology team at Deutsche Bank, visited our offices in London to discuss his new paper, The revised P&L attribution test and the suitability of new proposed thresholds, co-written by two of his colleagues, Marco Spinaci and Marc Georgi.
Oct 05, 2018•46 min
Alexandre Antonov – 15/08/2018
StanChart quant proposes new technique to compute margin valuation adjustment quicker
Aug 31, 2018•46 min
Pierre Henry-Labordere and Hamza Guennoun – 01/08/18
Pierre Henry-Labordere and Hamza Guennoun discuss exotics calibration, machine learning and autocallable pricing
Aug 01, 2018•17 min
Andrew Lo – 29/06/18
MIT quant says next project will be to combine behavioural science with tech such as machine learning
Jul 06, 2018•48 min
Richard Martin – 21/06/18
Emerging market hard-currency bonds contain exposure to an EM sovereign and the underlying industry. Richard Martin, Tolga Uzuner and Yao Ma investigate how to model this as a modification of the well-known first-to-default basket, using the structural model, and find the approach feasible
Jun 22, 2018•33 min
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