Portfolio manager and academic researcher talks about how his technique applies to LDI portfolios

Jan Rosenzweig, 16/05/2023

Industry quant teams up with academics to build better risk tools for FX markets

Barzykin And Guéant Podcast 0323

Julius Baer equity quant revels in solving problems for the trading desk.

Valer Zetocha 16/01/2023

Igor Halperin

Igor Halperin 08/12/2022

A discussion around alternatives designed to overcome the pitfalls of neural networks.

Antonov and Piterbarg 22/11/22

Chris Kenyon

Chris Kenyon: the right way to wrong-way risk and climate risk in XVA

Chris Kenyon 22:09:16

Marc Henrard

Marc Henrard 22/08/02 by Quantcast – a Risk.net Cutting Edge podcast

Marc Henrard 22/08/02 by Quantcast – a <a href="http://Risk.net" rel="nofollow" target="_blank">Risk.net</a> Cutting Edge podcast

Marc Henrard 22/08/02

Gordon Ritter

Gordon Ritter 24/06/22 by Quantcast – a Risk.net Cutting Edge podcast

Gordon Ritter 24/06/22 by Quantcast – a <a href="http://Risk.net" rel="nofollow" target="_blank">Risk.net</a> Cutting Edge podcast

Gordon Ritter 24/06/22

Alex Lipton

Lipton on automated FX market-making and the perils of stablecoins

Alex Lipton – 12/05/2022

Hans Buehler

JP Morgan quant explains the importance of de-trending training datasets

Hans Buehler – 01/03/2022

Conversations around the latest articles and topics covered by Risk.net's Cutting Edge team.

Conversations around the latest articles and topics covered by <a href="http://Risk.net" rel="nofollow" target="_blank">Risk.net</a>'s Cutting Edge team.

Quantcast – a Risk.net Cutting Edge podcast

Andrew Lo

MIT quant says next project will be to combine behavioural science with tech such as machine learning

Andrew Lo – 29/06/18

Quants explain application latest techniques to produce synthetic data

Horvath and Lee – 19/03/20

Quant says a new machine learning technique could change the way banks hedge derivatives

Hans Buehler –  28/05/19

How quantum theory could aid portfolio construction

Venturelli and Kondratyev – 24:05:19

Dominique Bang

Dominique Bang discusses a novel method to mix a pure stochastic volatility process with a generic local volatility function, using Lamperti’s transform

Dominique Bang – 29/11/18

Christian Fries

Research on adjoint algorithmic differentiation is not complete until it becomes easier to implement, says quant

Christian Fries – 06/04/2018

Model validation for ES-based risk models is not only possible but far more informative than traditional model acceptance on the basis of VAR exceedance counting, says head of valuation and quantitative solutions at Banque Pictet in Geneva

Carlo Acerbi – 28/08/19

Thomas Roos

Thomas Roos, a London-based consultant specialising in derivatives, talks about models that produce arbitrageable swaptions prices and the crude methods firms currently use to fix them.

Thomas Roos - 25/04/2018

Mats Kjaer

Mats Kjaer discusses a balance-sheet based model in which he derives breakeven price and valuation adjustments of a new trade for the firm and the shareholders

Mats Kjaer 03/10/19

Andrew Dickinson

Trades’ size limits, membership rules and more transparency are key to avoid another CCPs’ default, says BofA quant Andrew Dickinson

Andrew Dickinson – 09/01/20

René Carmona

Course director discusses machine learning explainability and reclaiming game theory from economists

René Carmona – 21/02/19

Adolfo Montoro

Adolfo Montoro, a director in the market risk management and risk methodology team at Deutsche Bank, visited our offices in London to discuss his new paper, The revised P&amp;L attribution test and the suitability of new proposed thresholds, co-written by two of his colleagues, Marco Spinaci and Marc Georgi.

Adolfo Montoro – 04/10/18

Marc Henrard, a managing partner at muRisQ Advisory, visited our London offices to record a podcast on the challenges of Libor transition as part of benchmark reform. He was joined over the phone by Fabio Mercurio, head of the quant analytics team at Bloomberg.

Mercurio And Henrard – 19/03/19

Andrew McClelland

Numerix's Andrew McClelland talks to Mauro Cesa in relation to an upcoming Risk.net paper – MVA: future IM for client trades anddynamic hedges

Numerix's Andrew McClelland talks to Mauro Cesa in relation to an upcoming <a href="http://Risk.net" rel="nofollow" target="_blank">Risk.net</a> paper – MVA: future IM for client trades and<br>dynamic hedges

Andrew McClelland – 31/07/19

Quants talk about new technique that can model wrong-way risk better

Chung And Gregory – 19/06/19

The best podcast episodes on global issues affecting everyone. Covering topics such as the #metoo movement, climate change, the impact of technology and some of the biggest global issues facing us right now. For anyone interested in learning more about the world, and some of the issues we're facing, pick an episode below and start listening! Add episodes you're interested into your queue below!

Best Episodes on Global Issues

The best podcast episodes on non-current politics. Covering topics such as universal basic income, democracy, poverty & justice and more. For anyone interested in learning more about politics that affect that world, not just now, but in the longer term. Add episodes you're interested into your queue below!