Knowledge Base Articles
Introduction to Credit Index Modelling
This article will discuss why it is important to model credit indices and detail a number of different approaches to this problem.
Overcoming the Insufficiency of Historical Data; The Rolling Window Method
In this article, we evaluate the rolling window procedure to alleviate the problem of inadequate data by increasing the number of observations extracted from a limited set of data.
An Introduction to Operational Risk
We will in this article give an introduction to operational risk, and explain the subject as it is defined in Basel II.
February 2019 News Update
We are excited to present our news selection for February 2019! Although anticipated to be a conventional means of providing investment advice in the longer term, automated financial advice is still an emerging subsector in the global wealth management industry. Some sources anticipate that the expansion and specialisation of such services would bring the developing digital advice providers to their maturity, while the early adopters evaluate the lessons learnt from the implementation of robo-advisers. Meanwhile, the large banks do not rush to engage in the FRTB implementation projects before the local regulators come up with the final version of the new rules. At the data intelligence side, the data scientists deploy artificial intelligence to assess the ESG practices of companies.
December 2018 News Update
We've summarised the most exciting news in the areas of automated investment advice and balance sheet risk. The large participants of wealth management industry explore the automated financial offerings, driven by the anticipations of double-digit growth of that market until 2023. The opportunities of automation have been contemplated by the UK's DIY investment facilitators and mortgage providers this month. Furthermore, in December the Basel committee published the report analysing and comparing the banks' cyber risk practices; the potential AI applications to accounting are being explored by the experts and the FRTB framework going live may be postponed.
November 2018 News Update
We've selected the most intriguing news from the domains of automated financial advice and balance sheet risk. The biggest global financial institutions carry on expanding their offerings with robo-advisors, while some of the established automated investment advice providers launch an option to pursue sustainable investments or compliment the digital experience with "human touch". Meanwhile, the industry continues to discover new applications of AI - for instance, modelling illiquid assets as a means of preparing to upcoming FRTB directive, or reducing the time spent on populating tax return forms.
Mitigating Risk: A Joint Model for High-Yield and Investment-Grade Credit Indices
Today, there are many flawed corporate bond pricing models. However, there is also a novel credit-spread approach that can simulate index prices and accurately capture probability of default, enabling better risk management and regulatory compliance.