Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared
The bank’s average VAR jumped $16 million to $51 million at end-December
Course sees off competition from Berkeley’s Haas and three New York schools
- People moves: SocGen adds in prime services, Deutsche fills new rates hole, HSBC makes model move, and more
- Credit risk quants are hitting the tech gap
- Princeton tops inaugural Risk.net quant master’s ranking
- Does credit risk need an expected shortfall-style revamp?
- Teach history to avoid mistakes of yesterday’s quants