Quantitative analysis
Revised Basel III better reflects bank risk, research finds
Study says 2013 capital rules more in line with actual risk, but can be easily gamed
Year of the XVAs: top technical papers and authors of 2015
Funding valuation adjustment under the microscope, along with other, newer XVAs
Paper of the year: JD Opdyke
New technique may help limit errors in AMA capital estimates
Quant ideas: Strategic versus tactical risk management
The susceptibility of enterprise risk tools to poor quality data is a major issue
Internal transfer price optimisation for integrated energy firms
A framework that demonstrates optimal internal pricing will deviate from ‘arm’s length principle'
Video: Enron 'best' and 'lowest' career moment, says Kaminski
Former research head gives wide-ranging interview on past and present of energy markets
Cutting Edge: Co-simulation of risk factors in power markets
A simple but realistic model to co-simulate the time series of temperature, electricity load and prices is proposed
Citi exec laments plight of the quants
Quant Congress USA: Quant departments have become “sterile” and “dumbed-down”
Quant fund approaches need refining in China market
Rich pickings are available but market fundamentals differ from Europe and the US
Investors want to know logic behind machine learning
Big data tools a hard sell without clear explanations, says Winton researcher
Quant ideas: Do we need realistic models?
Realistic models not necessarily a prerequisite for successful risk management
Anatomy of a model: Valuation of physical assets
Quant ideas paper dissects layers of valuation models for physical assets
Robert Litterman: lessons from the quant quake
Ex-Goldman partner says size, crowding and equity risk are bad for quant funds
Quant ideas: Building a better LNG forward curve
An overview of effective methods for constructing long-term LNG forward price curves
Piterbarg leaves Barclays; bank names new head quant
UK bank's head of quantitative analytics leaves after 10 years
Cutting edge: Kriging smooth energy futures curves
Applying kriging to extract smooth curves from energy futures prices
Battery storage to transform power market models
Technological breakthrough could rewrite the rules of power trading
Quant ideas: Liquidity in commodity risk management
Liquidity plays a vastly underappreciated role in commodity markets
Energy traders ignore legal risk at their peril
Legal risk can be disastrous but is hard to tackle, argues Kaminski
Energy trading firms may rue the decline of quants
New areas for quant research are in abundance, but resources are not
Wadhwani advocates defensive hedge fund position
Tough environment for CTAs likely to end as interest rates start to rise
Quants: how they shaped the modern energy market
Application of quantitative analysis to energy was far from smooth
Quant energy models need greater emphasis on fundamentals
North American shale boom and renewables growth underline importance