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.
Risk and portfolio managers at La Francaise are squeezing more information out of stress tests
Pascal Traccucci et al present an extended reverse stress test triptych approach with three variables
Mats Kjaer developes a dynamic balance-sheet pricing model for valuation adjustments
Bloomberg quant has developed a balance-sheet model for XVA pricing
A linear approximation to an allocation technique provides a solution for banks’ capital managment