Cutting Edge is the quantitative finance section of It publishes exclusive peer-reviewed papers selected for their originality, relevance and applicability to financial markets. It also publishes podcasts with leading quants on the most topical issues, and comments from practitioners and our editorial team.

Weighting for leverage

  • Archegos default caused losses an order of magnitude larger than those expected by credit models
  • Risk is greatly amplified by high leverage and is underestimated by standard credit risk models
  • The solution proposed here connects a counterparty’s default to the value of its underlying portfolio 

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