Laurie Carver
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Articles by Laurie Carver
Volatility of volatility spike drives options liquidity squeeze
Volatility of volatility spike drives options liquidity squeeze
Myron Scholes predicts 'golden age' for quants
Top quant sees bright future for mathematical finance as it tackles problems thrown up by the crisis
LTCM had ‘too much risk to be sustainable’ says Myron Scholes
Collapse of Long Term Capital Management was due to excessive leverage and shows perils of over-reliance on classical portfolio theory
German CDS spreads soar 80% in a month as crisis hits eurozone core
Credit spreads on core eurozone countries climb on market jitters
Sovereign volatility puts Basel III CVA charge in spotlight
Basel III feedback loop between CDS spreads and CVA capital requirements worries dealers, following month of huge sovereign spread moves
Quant Congress USA: Market efficiency is testable, claims Jarrow
Top quant claims traditional pricing models assume markets to be efficient – and says he can prove they're not
Quant Congress USA: BMW options "a recipe for disaster", says Dupire
Naive treatment of interaction between skew and correlation means writers of best-middle-worst options will face huge hedging losses, says top quant
BAML's Lipton: discrete models essential to cut CVA computation costs – Video
Top quant says a CVA model that is 80% accurate but takes 20% of the time is "very attractive"
RBS expands CVA quant team
RBS adds former Barclays Capital and Lehman quant to help build firm-wide CVA model
Excessive capital requirements will make markets more chaotic – Myron Scholes
Nobel winning quant makes the case for market-making as a stabilising force and a source of returns
Italy is real eurozone endgame, says top credit quant
Eurozone can finance a Spanish bail-out, but an Italian default is the real test of common currency’s survival, says NYU's Edward Altman
Industry models not sufficiently developed to calculate CVA charge, says Basel Committee
Basel Committee sticks to its decision not to allow banks to use their own models to calculate the CVA capital charge under Basel III
Comparability of EBA stress tests questioned
The ability of banks to use their own internal models for determining stressed PDs and LGDs mean the results will not be comparable, bankers claim
LPR Nordics: Sampension hits back at guarantee switch critics
The CEO of the Danish pension fund mounts a robust defence of his decision to remove the legal basis of its product guarantees
LPR Nordics: Danish FSA warns industry against Solvency II "compliance exercise"
Top Danish insurance and pensions regulator uses Life & Pension Risk Nordic conference to caution firms not to treat new regulation as a box-ticking exercise - or to rely on delays