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The authors put forward a formula-based approach for determining the optimal liquidity horizon used in scaling the base ...

The authors propose an algorithm which can aid the estimation of the validity of combined risk models lacking primary data.

In this second episode of the Quantcast Master’s Series – part of Risk.net ’s Tomorrow’s Quants project – we speak to Laura ...

One solution examined by policymakers to lighten the load would be to use a multiplier to soften the overall capital ...

Like many dealers, NatWest has for years had a tool that automatically trades in the underlying spot or forwards markets to ...

This paper compares two distinct modelling approaches for pricing derivative contracts on commodity excess return indexes, ...

Selling options for passive income.” Elsewhere, also in October, Tom Only users who have a paid subscription or are part of a ...

Risk Benchmarking study finds a majority of big dealers tapping cloud capacity, some exclusively, with others migrating ...

The Tomorrow’s Quants series explores the skills needed by new quant recruits, drawing on a survey of 39 employers, and six ...

Dealers might be nearing their capacity for Turkish lira options-based carry trades, as liquidity pressures, market risk and ...

The European Union’s banking standard-setter is preparing to provide clarity on a little understood risk in lenders’ banking ...