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Do not Forget the Economy when Estimating Default Probabilities

Traditional rating systems do not include macroeconomic variables. This article shows techniques to integrate macroeconomic information into a rating model and then illustrates how the macroeconomic variables improve the performance of a model for small and medium sized companies.

Bernd Engelmann, Daniel Porath
Tue 17 Jan 2023
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What Happened to Currency Fixings?

This article explores the manipulations of currency fixings and how the fixing production has been reshaped.

Uwe Wystup
Tue 17 Jan 2023
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Quantpedia Research Review - Issue 3

Issue 3 reviews post-earnings announcement drift, stock-bond correlation and the role of interest rates in factor discovery. Plus, learn how you can model a 100-year history of your portfolio.

Quantpedia
Tue 17 Jan 2023
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Is Crypto The Next Frontier Of Opportunities For Quants?

Read a summary of the panel discussion from the 2022 Annual Quant Insights Conference.

Barbara Mack
Thu 8 Dec 2022
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Introduction to Variance Swaps

This article introduces the properties of variance swaps, and gives insights into the hedging and valuation of these instruments from the particular lens of an option trader.

Sebastien Bossu
Thu 1 Dec 2022
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Quantpedia Research Review - Issue 2

Issue 2 reviews the hidden costs of ETFs and new findings on overnight sentiment trading. We also investigate if insider trading is still a problem, and explore possible approaches to multi-strategy portfolio management.

Quantpedia
Thu 24 Nov 2022
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Internal LGD Estimation in Practice

Peter Glößner, Achim Steinbauer, Vesselka Ivanova discuss loss given default (LGD) in this article.

Peter Glößner, Achim Steinbauer, Vesselka Ivanova
Thu 17 Nov 2022
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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. 

Bill Ziemba
Mon 7 Nov 2022
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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.

Barbara Mack
Sat 22 Oct 2022
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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.

Barbara Mack
Sat 15 Oct 2022

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