Research
Our research develops practical insights and tools that apply our expertise and technology to prevailing industry challenges. We hope this is useful, and please reach out to us if you would like to explore these topics any further.
Machine learning and AI, Quantitative algorithmic and financial engineering,
Abstract. Monitoring of loan performance and early identification of high-risk consumers aids prevention of loan defaults and is of interest to many banks and…
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Quantitative algorithmic and financial engineering,
The automation of trading decisions has led to lower costs and greater liquidity but has the potential to amplify execution risks, turning otherwise manageable…
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Machine learning and AI, Quantitative algorithmic and financial engineering,
As deep learning enters the mainstream in financial services, interpretability is becoming an important issue; introducing models with hidden layers and complex…
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Machine learning and AI, Quantitative algorithmic and financial engineering,
Over recent years there has been an arms race underway in front office execution. Advances in technology have increased automation, generating lower costs and…
Read more Quantitative algorithmic and financial engineering, Data science,
Abstract. We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent with, and analogous to, the Traffic Light…
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Quantitative algorithmic and financial engineering, Business process engineering and data organisation, Technology re-platforming,
Model inventory as an enterprise enabler. ‘The aim is to help organisations lower cost while identifying and eliminating model risk throughout the lifecycle,…
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Quantitative algorithmic and financial engineering,
Industry speakers shared practical advice on SIMM, dynamic margin modelling and the challenges of delivering ever greater numbers of XVA calculations.
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Quantitative algorithmic and financial engineering,
There is a well-known philosophy adage that states all idealism ends in tyranny. On reflection it seems the financial world is no exception – the idealism in…
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