The quant delusion
The collapse of Lehman Brothers triggered a number of market dislocations that have shaken the foundations of quantitative finance. Government intervention and new regulation could further reshape financial markets, posing challenges for investors and risk managers. Stephen Blyth outlines the issues
Derivatives markets have seen some major changes since the collapse of Lehman Brothers in September 2008. In the aftermath, several markets moved in ways that challenged basic and long-held assumptions on which quantitative finance had relied. There have also been other fundamental adjustments. Governments around the globe have become bolder in their policy actions since the crisis – most recently with the second bout of quantitative easing in the US. Meanwhile, a wave of regulatory reform is on
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Markets
OCC introduces new intraday risk charge covering zero-day options
Revised measures “a nightmare” to implement, says one broker-dealer
Cecilia Skingsley on monetary policy tech and a unified ledger
BIS Innovation Hub head discusses tokenisation, CBDCs and AI’s ‘black box problem’
Korea FX reforms expected to drive e-trading surge
Dealers say opening onshore FX market to foreign firms will push trading onto platforms
How APG is navigating overhaul of Dutch pensions
Firm is helping two funds move on to defined-contribution contracts, but it won't be plain sailing
FX books bulge in quant investment field
Carry strategies attract bulk of interest; banks eye growth in volatility, intraday and emerging market replication
Isda pushes to ‘decouple’ Simm calibration from model changes
Emir 3.0 prompts effort to separate risk-weight revisions from methodology updates
Are market-makers better at dealing with central bank intervention?
Lack of pain following BoJ intervention suggests dealers are better at handling event risk
MassMutual adds to mammoth interest rate swaps book
Counterparty Radar: Firm was responsible for 28% of US life insurers’ notional aggregate in Q4 2023
Most read
- Too soon to say good riddance to banks’ public enemy number one
- FRTB start dates must align globally, says European Commission
- Breaking out of the cells: banks’ long goodbye to spreadsheets