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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
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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
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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
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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
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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
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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
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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
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Conference Summary: ESG & Climate Risk in Quant Finance

Read a summary of the ESG & Climate Risk in Quant Finance Conference.

Barbara Mack
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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
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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.

Vivien Brunel

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