Articles by Mauro Cesa
Piterbarg leaves Barclays; bank names new head quant
UK bank's head of quantitative analytics leaves after 10 years
Quant Congress Europe: Robotrading doesn't destabilise markets, conference hears
Automated trading not to blame for higher equity volatility during the crisis, says senior quant
New dynamic risk measure launched
Tool can capture the time evolution of market risk for energy and commodity-linked positions
Basel Committee to rethink CVA capital charge
Regulators might adapt the bond-equivalent approach amid claims the methodology will lead to perverse incentives
CBOE developing tail event index
A new index based on skew will be unveiled once testing is completed
Interview with Vladimir Piterbarg
Vladimir Piterbarg talks about his new article published in the Cutting Edge section of Risk magazine
Rehabilitating innovation
The financial crisis has put greater focus on the accuracy of models, with some regulators criticising banks for placing too much reliance on model outputs. In an introduction to this month's Cutting Edge section, Mauro Cesa, Risk's technical editor, and…
Model students
Mauro Cesa, Energy Risk's technical editor, talks to quants about how quantitative analysis for energy markets has developed and what they see as the most influential technical publications of the past 15 years
Rolling credit
In the period from December 2006 to November 2007, the Cutting Edge section saw a slightly increased number of submissions compared with last year, but trends in publications and rejections (only one out of four sees the light of acceptance) show how our…