Conversations around the latest articles and topics covered by Risk.net's Cutting Edge team.
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 - 20:09:01
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
Horvath and Lee – 19/03/20
Quants explain application latest techniques to produce synthetic data
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