Avoiding crowds: BlackRock leads push to model 'endogenous' risk

A known flaw in conventional risk models is becoming hard to ignore in current markets

Crowd-blurred motion

For Edward Fishwick, BlackRock's London-based global co-head of risk and quantitative analysis, what stands out about January's market falls is how hard they are for traditional risk models to explain. "Not much changed," he says. "If you think about European monetary policy, China, oil, the US economy: everything true now was true three months ago, probably six." At the same time, implied volatility remained relatively low, with the CBOE Volatility Index peaking at 32.09 on January 20, but

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 copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Asset-liability management: Special report 2023

There is nothing new about the dynamics behind the ALM banking crisis of earlier this year: maturity transformation, liquidity risk and interest rate risk are at the heart of the traditional banking business model. But these old threats have been given…

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here