Research
Princeton, Baruch and Berkeley top for quant master’s degrees
Eight of 10 leading schools for quantitative finance programmes are based in US, latest rankings show
New breed of NLP model learns finance better, study finds
Models trained by looking at sentences beat conventional approaches that contextualise words
An old model can shed new light on how flows shape prices
Market microstructure theory may also explain long-term patterns in stock markets
Market’s mystery jumps might be predictable after all
Endogenous volatility has a tell-tale pattern, quants find
Seismology models sound out safe ground for DG Partners
Quake technology helps quant firm time entry and exit points – and buck trend-following trend
Research house of the year: Societe Generale
Risk Awards 2021: quant group’s tail-risk hedging strategies ‘saved the books’ of some big clients
The hidden effects of stress on risk takers
Trader turned neuroscientist urges financial firms to monitor trader physiology, hire fewer physicists
Energy Risk Asia Awards 2020: The winners
BNPP wins top derivatives award, with Macquarie scooping environmental products house
Broken backtests leave quant researchers at a loss
As historical data loses relevance, quants must find new ways to validate their theories
Ratings can still sharpen credit risk picture
Study shows even the most modern default models benefit from adding credit rating information
NYU’s Epstein on fear and complacency in the age of Covid
Pioneer of agent-based models warns of virus resurgence akin to 1918 Spanish flu
Funds turn to stress-testing in fast-forward and reverse
Buy-side risk survey: Covid-19 is changing the way investors think about stress tests
Good citizenship can signal better creditworthiness – study
Environmental and social behaviour predicts credit ratings in North America – less so in Europe
Altman: mega-bankruptcy wave coming
Credit conditions were worsening before Covid, research finds
Studies test investors’ risk aversion after crash
Researchers use March tumult to investigate psychology of risk-taking
Two quants use options pricing tools to model Covid-19
New tool aims to gauge wider cost of virus control measures
Carbon tax spike could spur global recession – S&P
Higher carbon prices would trigger widespread industry defaults, says agency research unit
Libor webinar playback: spotlight on loans
Panellists from McKinsey, the LSTA and UBS discuss efforts to switch lending to new benchmarks
Covid transparency would soothe markets – Harvey
“Why aren’t our policy-makers sharing their models?” asks Duke University economist
Caveat pre-emptor: Man ESG chief talks snubbed markets
Robert Furdak is sparking discussions about responsible trend following in unsustainable stocks
Asia moves: Natixis hires Asia M&A chief, Deutsche Bank picks north Asia head, and more
Latest job news across the industry
Neuberger Berman gets its Sherlock on
Asset manager deploys quant-cum-sleuth to sniff out portfolio risk
Ready or not – a low-carbon economy is coming
Government and business must avert disorderly move away from fossil fuels, says Geneva Association’s Maryam Golnaraghi
Dark materials: how one academic is delving into data
David Hand shines a light on dark data and the dangers of distortion by absence