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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
Swaptions: 1 Price, 10 Deltas, and … 61/2 Gammas*
This article compares simple risk measures (first and second order sensitivity to the underlying yield curve) for simple instruments (swaptions).
Thu 1 Sep 2022
A Markovian Model of Default Interactions: Comments and Extensions
This article analyses Davis and Lo (2001b) enhanced risk model, which is a dynamic version of the popular market model of infectious defaults of Davis and Lo (2001a).
Thu 1 Sep 2022
Quant Insights Conference: Factor Investing and the Road to Diversified Serfdom
In May 2022, the Quant Insights Conference held by the CQF Institute featured a panel discussion entitled, “Factor Investing and the Road to Diversified Serfdom.”
Mon 15 Aug 2022
