Quants at the world’s largest asset manager have decided to shelve promising AI liquidity risk models because they have not been able to explain the models’ output to senior management.
“The senior people want to see something they can understand,” Stefano Pasquali, head of liquidity research at BlackRock, said at Risk USA on November 9, commenting on why the fund manager chose not to deploy two AI models – one aimed at forecasting market volume, the other at redemption risk. They were set
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