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Counterparty credit risk, collateral and funding - an interview with Professor Damiano Brigo
Blog Post: PatrickBurns: garch models caught in the spotlight
Vendor News: AQR Capital Management Goes Live With Fidessa Sentinel
Published / Preprint: 12Jan/Work on the Liquidity Coverage Ratio finalised by the Basel Committee
Published / Preprint: 12Jan/Amendments to Basel III's leverage ratio issued by the Basel Committee
Blog Post: TheFinancialServicesClub: Things worth reading: 13th January 2014
Published / Preprint: Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows. (arXiv:1401.2314v1 [q-fin.CP])
Blog Post: ThePracticalQuant: Big Data systems are making a difference in the fight against cancer
Published / Preprint: 12Jan/Important steps towards completion of post-crisis regulatory reforms endorsed by Group of Governors and Heads of Supervision
Blog Post: TheAlephBlog: Where to Find Data
Blog Post: iMFdirect: Mali ' At the Dawn of a New Year

Counterparty credit risk, collateral and funding - an interview with Professor Damiano Brigo

Posted: 13 Jan 2014 04:27 AM PST

Prof. Damiano Brigo is Chair and co-Head of Mathematical Finance at Imperial College, London, consistently ranked among the top 10 world universities, and Director of the Capco Research Institute in the industry. Damiano’s previous roles include Gilbart Professor and Head of Group at King's College, Managing Director and Quantitative Innovation Global Head in Fitch, Head of Credit Models in...

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Blog Post: PatrickBurns: garch models caught in the spotlight

Posted: 13 Jan 2014 03:49 AM PST

An attempt to clarify the basics.read more...

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Vendor News: AQR Capital Management Goes Live With Fidessa Sentinel

Posted: 13 Jan 2014 01:10 AM PST

Published / Preprint: 12Jan/Work on the Liquidity Coverage Ratio finalised by the Basel Committee

Posted: 13 Jan 2014 12:40 AM PST

Basel Committee press release about the finalised work on the Liquidity Coverage Ratio (12 January 2014)

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Published / Preprint: 12Jan/Amendments to Basel III's leverage ratio issued by the Basel Committee

Posted: 13 Jan 2014 12:40 AM PST

Basel Committee press release about the amendments to Basel III's leverage ratio (12 January 2014)

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Blog Post: TheFinancialServicesClub: Things worth reading: 13th January 2014

Posted: 13 Jan 2014 12:29 AM PST

Things we're reading today include ...read more...

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Published / Preprint: Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows. (arXiv:1401.2314v1 [q-fin.CP])

Posted: 12 Jan 2014 05:39 PM PST

All the financial practitioners are working in incomplete markets full of unhedgeable risk-factors. Making the situation worse, they are only equipped with the imperfect information on the relevant processes. In addition to the market risk, fund and insurance managers have to be prepared for sudden and possibly contagious changes in the investment flows from their clients so that they can avoid...

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Blog Post: ThePracticalQuant: Big Data systems are making a difference in the fight against cancer

Posted: 12 Jan 2014 10:37 AM PST

[A version of this post appears on the O'Reilly Data blog.]As open source, big data tools enter the early stages of maturation, data engineers and data scientists will have many opportunities to use them to "work on stuff that matters". Along those lines, computational biology and medicine are areas where skilled data professionals are already beginning to make an impact. I recently came across a...

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Published / Preprint: 12Jan/Important steps towards completion of post-crisis regulatory reforms endorsed by Group of Governors and Heads of Supervision

Posted: 12 Jan 2014 08:08 AM PST

Basel Committee press release about the Group of Governors and Heads of Supervision endorsing important steps towards completion of post-crisis regulatory reforms (12 January 2014)

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