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RiskNet Cutting Edge
@RiskCuttingEdge
Cutting Edge - asset and risk management, derivatives research papers and quantitative modelling from
London, UK
Joined September 2010
25
Following
722
Followers
190
Posts
RiskCuttingEdge
retweeted
Risk.Net
@RiskDotNet
over 10 years ago
Risk awards 2016: read our introduction here https://t.co/oo6gsZDgxr and click through to all the winners for free.
RiskNet Cutting Edge
@RiskCuttingEdge
over 10 years ago
Cutting Edge: technique to compare backtests on VAR and expected shortfall revealed https://t.co/Nu2Y7bv0nD
RiskNet Cutting Edge
@RiskCuttingEdge
over 10 years ago
Cutting Edge: diversification is also beneficial to operational risk. https://t.co/l1ArETdUOr
RiskNet Cutting Edge
@RiskCuttingEdge
over 10 years ago
Vladimir Piterbarg develops a solution to a non-linear PDE relevant to XVA-related problems: http://t.co/sQ0EWxeOgD
Who to follow
Eris Innovations
@ErisFutures
The Future of Swaps
RegTech Insight
@RegTechInsight
RegTech Insight focuses on how data, technology and processes at financial institutions are impacted by regulations such as MiFID II, GDPR, MAD/MAR, FRTB, KYC
RiskNet Cutting Edge
@RiskCuttingEdge
almost 11 years ago
Free content: A positive approach to negative interest rates. http://t.co/1gFoA6M4q0
#interestrates
RiskNet Cutting Edge
@RiskCuttingEdge
almost 11 years ago
SABR model in a negative rates environment: http://t.co/99Tin9l1nQ
RiskNet Cutting Edge
@RiskCuttingEdge
almost 11 years ago
On how internal transfer prices should be higher than those currently applied between divisions of energy firms: http://t.co/d7BagkfI0s
RiskNet Cutting Edge
@RiskCuttingEdge
almost 11 years ago
Lloyds' quants Kenyon and Green present a methodology that allows for efficient XVA management: http://t.co/yx3uwik2fP
RiskNet Cutting Edge
@RiskCuttingEdge
almost 11 years ago
HSBC's Wujiang Lou shows a CVA and FVA's framework that abides by the law of one price http://t.co/5EMKtKt1cC
RiskNet Cutting Edge
@RiskCuttingEdge
about 11 years ago
American options: time-critical pricing http://t.co/KHQ99mPSAB
#montecarlo
#americanoptions
RiskNet Cutting Edge
@RiskCuttingEdge
about 11 years ago
David Ardia and Attilio Meucci introduce a parametric entropy pooling approach for portfolios stress testing http://t.co/dhCT8gnhwJ
RiskNet Cutting Edge
@RiskCuttingEdge
about 11 years ago
A novel scaling methodology to include external data in operational risk calculation: http://t.co/vFogjWwaC7
RiskNet Cutting Edge
@RiskCuttingEdge
about 11 years ago
Andrew Green and Chris Kenyon introduce MVA (margin valuation adjutment) in Burgard&Kjaer semi-replication method: http://t.co/D5GGP9RJJm
RiskNet Cutting Edge
@RiskCuttingEdge
about 11 years ago
On how skewness, rather than volatility, is correlated with risk premiums, shown by Capital Fund Management's quants http://t.co/bBRDglGqqG
RiskNet Cutting Edge
@RiskCuttingEdge
over 11 years ago
Quantization methods in option pricing: http://t.co/wWQfEI8cGd Applications to vanilla and barrier options
RiskNet Cutting Edge
@RiskCuttingEdge
over 11 years ago
Black-Scholes option pricing model extended to consider funding costs: http://t.co/RMvvfLCrVX
RiskNet Cutting Edge
@RiskCuttingEdge
over 11 years ago
Harvey Stein of Bloomberg presents a risk analytics methodology combining real-world and risk-neutral measures http://t.co/AR1DUqu9Mt
RiskNet Cutting Edge
@RiskCuttingEdge
over 11 years ago
#NYU
's @PetterKolm and Gordon Ritter apply Bayesian models to multiperiod portfolio selection with transaction costs http://t.co/X22c3Kgc8j
RiskNet Cutting Edge
@RiskCuttingEdge
over 11 years ago
Marco Naldi named new Barclays' Head of Quantitative Analytics: http://t.co/JItA7FUutJ
RiskNet Cutting Edge
@RiskCuttingEdge
over 11 years ago
Vladimir Piterbarg, twice Risk's Quant of the Year, is no longer with Barclays: http://t.co/8hMEQVSBOU
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