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Goldman hires for big bang in credit
8 years ago
Cern scientist-turned credit quant switches to Goldman Sachs in London -
Concern over CDS clearing costs is misguided, says leading quant
10 years ago
Central clearing of CDS is widely assumed to increase margin costs, with some estimates of the impact reaching trillions of dollars. Leading quant Darrell Duffie disagrees -
New York-based credit hedge fund hires senior quant from UBS
10 years ago
A structured credit hedge fund has hired a senior figure in the credit quant space -
Top credit quant resurfaces at Apollo
10 years ago
A top credit quant has joined Apollo after the abortive launch earlier this year of a start-up credit hedge fund -
Tweaking Archimedes to find tail risk
11 years ago
Natalia Puzanova describes a new way of constructing hierarchical Archimedean copulas which ensures that sampling is straightforward and that tail risk is not underestimated -
Taking the CVA route to valuing CLNs
11 years ago
Credit-linked notes can’t be said to have risk-free collateral any more. Dmitry Pugachevsky suggests pricing them using techniques developed for bank counterparty risk
6 results found Showing page 1 of 1
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