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RBC applies ‘deep hedging’ to stress scenarios

Posted by Kenneth UptonMarketing & Developmentapplies, Deep, hedging, scenarios, stressPosted on November 13, 2021

Risk USA: machine learning model generates more realistic estimates of trading losses

Eurex plans hedging contest in default auction revamp

Posted by Jerome MooreMarketing & Developmentauction, Contest, default, Eurex, hedging, plans, RevampPosted on August 3, 2021

New step in the default management process would enhance transparency in hedge provider selection

Deep hedging strays when volatility gets rough – study

Posted by William WesselMarketing & DevelopmentDeep, Gets, hedging, rough, strays, study, VolatilityPosted on March 16, 2021

In the most realistic simulations, data-driven approach fared 30% worse than conventional hedging

AI in practice, EU clearing and post-Libor hedging

Posted by Helen CarpenterMarketing & Developmentclearing, hedging, postLibor, practicePosted on February 15, 2020

The week on Risk.net, February 8–14, 2020