Teach history to avoid mistakes of yesterday’s quants

Quant grads should be taught follies of LTCM, Gaussian copula and London Whale, writes UBS’s Gordon Lee

Stairs
“Those who cannot remember the past are condemned to repeat it”

This article accompanies Risk.net’s updated guide to the world’s leading quantitative finance master’s programmes. The full guide and a ranking of the top 15 courses can be found here.

I recently found myself in a room full of very young – and very bright – master’s in finance students at a top-tier university. I decided to conduct a quick straw poll. I asked whether the assembled grads had heard of the 2012 London Whale incident, in which JP Morgan lost $6.2 billion on a credit derivatives

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: