Quant of the year: Michael Pykhtin

michael-pykhtin

In the wake of the financial crisis, regulators in the US and Europe decided the existing capital requirements regime was inadequate and needed to be overhauled. The industry’s models had failed to capture risks – most obviously credit and counterparty exposures – and some critics were calling for them to be reined in by blunter, simpler standards.

The Basel Committee on Banking Supervision only half agreed. Basel 2.5 and Basel III require capital to be held against new exposures, such as rating

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