BlackRock shelves unexplainable AI liquidity models

Risk USA: Neural nets beat other models in tests, but results could not be explained

SI question
Quants cannot explain the results of neural networks

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

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

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: