Cutting Edge
Cutting Edge is the quantitative finance section of Risk.net. It publishes exclusive peer-reviewed papers selected for their originality, relevance and applicability to financial markets. It also publishes podcasts with leading quants on the most topical issues, and comments from practitioners and our editorial team.
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Weighting for leverage
- Archegos default caused losses an order of magnitude larger than those expected by credit models
- Risk is greatly amplified by high leverage and is underestimated by standard credit risk models
- The solution proposed here connects a counterparty’s default to the value of its underlying portfolio
Podcast: Olivier Daviaud on P&L attribution for options
JP Morgan quant discusses his alternative to Greeks decomposition
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
Filling gaps in market data with optimal transport
Julius Baer quant proposes novel way to generate accurate prices for illiquid maturities
Volatility shape-shifters: arbitrage-free shaping of implied volatility surfaces
Manipulating implied volatility surfaces using optimal transport theory has several applications
