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Internal LGD Estimation in Practice
Peter Glößner, Achim Steinbauer, Vesselka Ivanova discuss loss given default (LGD) in this article.
Thu 17 Nov 2022
The Great Investors, Their Methods and How We Evaluate Them: Theory
This article discusses a categorization of the efficient market camps which is related to how various people try to get an edge.
Mon 7 Nov 2022
Communication Best Practices in Quantitative Finance
Ed Ma gave a recent talk on ‘Communication Best Practices in Quantitative Finance’ – find out more about his advice and top tips.
Sat 22 Oct 2022
Saints and Sinners: A Panel Discussion from the ESG and Climate Risk Conference
Read a summary of the panel discussion from the 2022 ESG and Climate Risk in Quant Finance Conference.
Sat 15 Oct 2022
Conference Summary: ESG & Climate Risk in Quant Finance
Read a summary of the ESG & Climate Risk in Quant Finance Conference.
Sat 15 Oct 2022
Pricing Credit Derivatives with Uncertain Default Probabilities
In this article, the author presents a model for pricing credit spread options in an environment where the rating transition probabilities are uncertain parameters.
Tue 11 Oct 2022
Quantpedia Research Review - Issue 1
Issue 1 delves into the detail on overnight market anomalies and combining data sources for the dollar factor. We also look into different replication approaches for ETFs, and review new thinking on market timing strategies.
Mon 10 Oct 2022
A Day in the Life of a Quantitative Portfolio Manager
CQF alumnus, Michael Althof gave a recent talk on ‘A Day in the Life of a Portfolio Manager’ – discover what he had to say about this career.
Fri 7 Oct 2022
The Chemistry of Contagious Defaults
In this article, the authors have obtained a dynamical Markovian model of default interactions that describes portfolio’s dynamics endogenously through the mechanism of chemical reactions.
Thu 1 Sep 2022
Trend followers lose more often than they gain
In this article, the authors solve exactly a simple model of trend following strategy, and obtain the analytical shape of the profit per trade distribution.
Thu 1 Sep 2022
