Laurie Carver
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Articles by Laurie Carver
Macro-prudential supervision: the case against
The financial crisis could have been averted if regulators had been allowed to prick the credit bubble as it was inflating – or so claim advocates of macro-prudential supervision. But not everyone agrees. By Laurie Carver
Cutting Edge introduction: The tipping-point for leverage
Borrowing the stake for a bet is as old as the hills – and so is losing it. But how much debt is too much for a given position? A group of quants believe they know. Laurie Carver introduces this month’s technical articles
Cutting edge 2012: From stochastic volatility to shameful scams
From stochastic volatility to shameful scams
Quant Congress Europe: FVA ends ‘Platonic price’, says Brigo
No going back from FVA, says Imperial College professor – and other speakers at the conference agreed
Quant Congress Europe: Collateral choice will cause price fragmentation, says Piterbarg
Ability to choose eligible collateral within CSAs means unique prices for the most vanilla derivatives could become a thing of the past, says Vladimir Piterbarg
Isda defends trading book models in response to Basel proposals
Isda pushes alternatives to Basel Committee review of trading book capital rules in leaked comment letter
Beware attempts to reduce tail-risk hedge costs, says Rattray
The cost of systematic tail-risk hedging strategies may be high, but market participants should be wary of trying to reduce the costs by adding discretionary positions, says Vix co-inventor
Cutting Edge introduction: Computation, computation, computation
Computation, computation, computation
Portfolio theory vindicated by crisis, says Markowitz
Nobel prize-winner defends his work on portfolio theory, which critics claim has been discredited by the crisis
Cutting Edge introduction: Followers of fashion
Focusing on how often a trading strategy ends on the winning side can distract from the question of whether it profits on average. The key is in the return distribution’s skew – and at least for trend-following strategies this can be directly controlled…
Risk 25: No more heroes in quantitative finance?
Scientific theories are supposed to be smooth processes, with progress building on progress. But sometimes a theory gets such a shock that it needs to be completely rethought – and quantitative finance is in the middle of such an upheaval
Banks will struggle to fill top quant roles, says Andreasen
Jesper Andreasen slams new generation of quants as indoctrinated "muppets", incapable of independent thought
Don't blame the quants, says Merton
Quantitative models were unfairly criticised in the aftermath of the financial crisis, says legendary quant and co-creator of the Black-Scholes equation, but there’s plenty for quants to work on in the current environment
Risk.net poll: Basel Committee wrong to be sceptical of capital models
Readers of Risk.net vote two to one against the Basel Committee's new-found distrust of internal capital modelling