Conversations around the latest articles and topics covered by Risk.net's Cutting Edge team.
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.
Richard Martin – 05/03/2021
Star quant proposes a new model for predicting changes in bond ratings
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.
Jean-Philippe Bouchaud - 01/09/20
CFM’s Bouchaud on agent-based models and ESG investing
Dario Villani - 28/07/20
Dario Villani - 28/07/20 by Quantcast – a Risk.net Cutting Edge podcast
Lipton And De Prado – 16/06/20
Lipton and De Prado discuss trading strategies and Covid-19 modelling