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An Introduction to the Generalized Marginal Risk
In this paper, the authors present the concept of generalized marginal risk.
Fri 22 Sep 2023
The Value of Liquidity
In this article, the authors present a game-theoretic example that helps to illustrate the value of liquidity.
Tue 22 Aug 2023
Quantpedia Research Review - Issue 10
Issue 10 discusses how beta adjusting equity factor leads to better strategies, explores the top models for Natural Language Understanding (NLU), and provides an analysis of factor investing funds.
Tue 22 Aug 2023
Improving the Initial Margin Model
Stuart Smith examines ISDA’s response to the PRA’s comments of SIMM and explores the implications of this for the derivatives market.
Wed 19 Jul 2023
The Implied Loss Surface of CDOs
In this article, the authors describe how to determine the implied loss distribution of a credit portfolio from CDO tranche quotes.
Mon 17 Jul 2023
The Financial Heat Machine: Coupling With the Present Financial Crises
In this article, the author considers dynamics of financial markets as dynamics of expectations of people acting on them and discusses it from the point of view of phenomenological thermodynamics.
Mon 17 Jul 2023
Quantpedia Research Review - Issue 9
Issue 9 explores the importance of gold in investment portfolios, discusses the lack of standardization in ESG ratings, and discusses whether investors should systematically emphasize certain industries or countries to increase expected returns.
Mon 17 Jul 2023
Acadia’s Open-Source Risk Engine (ORE) - How its expanded functionality provides a real choice for firms
In this article, discover the Open-Source Risk Engine (ORE) - a standardized pricing and risk framework.
Fri 30 Jun 2023
A Mean-Square Approach to Constant Proportion Debt Obligations
In this paper, the authors show that the optimal leverage function for CPDOs in a mean-square sense coincides with the one used in practice.
Thu 22 Jun 2023
Gambler's Ruin
The term “gambler’s ruin” is used for a number of statistical ideas whose common denominator is predicting the eventual outcome of a series of repeated bets.
Thu 22 Jun 2023
