Quantcast – a Risk.net Cutting Edge podcast

BoE quant discusses a top-down counterparty risk framework that uses Gaussian distributions and copulae

Trio of senior quants explain how autoencoders can reduce dimensionality in yield curves

Lyudmil Zyapkov on modelling forward variance skew

Adia quant explains how to apply hierarchical risk parity to a minimum-variance portfolio

Alexei Kondratyev on quantum computing

Quantcast: Piterbarg and Nowaczyk on decorrelating variables. A novel data manipulation technique strengthens backtesting on correlated data.