RiskNet Cutting Edge

Cutting Edge - asset and risk management, derivatives research papers and quantitative modelling from

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Risk awards 2016: read our introduction here https://t.co/oo6gsZDgxr and click through to all the winners for free.

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Cutting Edge: technique to compare backtests on VAR and expected shortfall revealed https://t.co/Nu2Y7bv0nD

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Cutting Edge: diversification is also beneficial to operational risk. https://t.co/l1ArETdUOr

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Vladimir Piterbarg develops a solution to a non-linear PDE relevant to XVA-related problems: http://t.co/sQ0EWxeOgD

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Free content: A positive approach to negative interest rates. http://t.co/1gFoA6M4q0 #interestrates

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SABR model in a negative rates environment: http://t.co/99Tin9l1nQ

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On how internal transfer prices should be higher than those currently applied between divisions of energy firms: http://t.co/d7BagkfI0s

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Lloyds' quants Kenyon and Green present a methodology that allows for efficient XVA management: http://t.co/yx3uwik2fP

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HSBC's Wujiang Lou shows a CVA and FVA's framework that abides by the law of one price http://t.co/5EMKtKt1cC

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American options: time-critical pricing http://t.co/KHQ99mPSAB #montecarlo #americanoptions

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David Ardia and Attilio Meucci introduce a parametric entropy pooling approach for portfolios stress testing http://t.co/dhCT8gnhwJ

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A novel scaling methodology to include external data in operational risk calculation: http://t.co/vFogjWwaC7

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Andrew Green and Chris Kenyon introduce MVA (margin valuation adjutment) in Burgard&Kjaer semi-replication method: http://t.co/D5GGP9RJJm

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On how skewness, rather than volatility, is correlated with risk premiums, shown by Capital Fund Management's quants http://t.co/bBRDglGqqG

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Quantization methods in option pricing: http://t.co/wWQfEI8cGd
Applications to vanilla and barrier options

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Black-Scholes option pricing model extended to consider funding costs: http://t.co/RMvvfLCrVX

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Harvey Stein of Bloomberg presents a risk analytics methodology combining real-world and risk-neutral measures http://t.co/AR1DUqu9Mt

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#NYU's @PetterKolm and Gordon Ritter apply Bayesian models to multiperiod portfolio selection with transaction costs http://t.co/X22c3Kgc8j

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Marco Naldi named new Barclays' Head of Quantitative Analytics: http://t.co/JItA7FUutJ

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Vladimir Piterbarg, twice Risk's Quant of the Year, is no longer with Barclays: http://t.co/8hMEQVSBOU