By the end of this month, banks need to have implemented Credit Spread Risk in the Banking Book. We notice that many banks are still developing methods to measure CSRBB amidst limited regulatory guidance. To validate or challenge your internal discussions, our colleague Maurits van den Oever has investigated a simple and intuitive method to quantify systemic credit spread shocks. He calculates shocks for government bonds with different ratings and maturities which can be easily implemented in your IRRBB framework. Interested in further expanding your CSRBB framework in 2024? Then don’t hesitate to get in touch with our IRRBB lead Corné Ruwaard to exchange thoughts. https://lnkd.in/eN-P_xkT.
Corné Ruwaard’s Post
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Reinforcement learning can be successfully applied to hedging of options and these machine learning algorithms can “transfer” knowledge obtained from simulated data to the real-world option trading environment. Find out how in this whitepaper from Svetlana Borovkova and Alexandru Giurca: https://lnkd.in/dvsRccE #machinelearning #options #hedging #reinforcementlearning
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After having been part of RiskQuest since July 2016, I recently decided it was time for a new step in my career. I am happy to announce that I am continuing in financial risk consulting at Probability & Partners. I am very excited to work on quantitative solutions for their clients in banking, insurance, and pensions. Hereby I would like to thank all my former colleagues and clients who I have been honored to work with in the last 4.5 years. I have learned a great deal from all of you, and look forward to meeting again in the future.
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Wordt jij onze nieuwe collega? Bekijk nu onze nieuwe vacature.
RiskQuest zoekt nieuwe collega's: https://lnkd.in/g4ZPrCF Solliciteren? Check onze website: https://lnkd.in/gGN5Szc #RiskQuest #econometrie #vacature
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Wil je graag bijdragen aan de financiële sector en jezelf verdiepen binnen econometrie & quantitative modeling? Ons team bestaat uit 26 ambitieuze individuen met bijna allemaal een kwantitatieve achtergrond op gebied van econometrie, wiskunde en natuurkunde. Lijkt het jou leuk hier onderdeel van uit te maken? Bekijk dan onze vacature: https://lnkd.in/dBfMSwv
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Last month the European Banking Authority published final Guidelines on Interest Rate Risk in the Banking Book (IRRBB). Interested in what has changed? In our whitepaper we assess its impact and provide a brief overview of the changes: https://lnkd.in/g3CEuCY
whitepaper_IRRBB.pdf
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Wil jij econometrie en quantitative modeling toepassen binnen de financiële sector? Bekijk dan onze vacatures: https://lnkd.in/dBfMSwv
Risk Management Consultant
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Op vrijdag 4 mei om 16:00 uur organiseert RiskQuest weer een nieuwe editie van de populaire halfjaarlijkse student drinks. Ditmaal zal het in het teken staan van Neural Networks. Naast een informatieve presentatie over dit thema kan je kennis maken met zowel RiskQuest als met een groep econometrie-/wiskunde-/ natuurkundestudenten uit het hele land. Wil jij hierbij zijn? Meld je dan nu aan via businessmanager@riskquest.com
