Risk USA: Some relationships remain broken in derivatives market

Fundamental assumptions about the relative value of certain derivatives assets remain warped more than two years after the collapse of Lehman Brothers in September 2008, as dysfunctional relationships between products continue in over-the-counter markets, delegates at Risk USA have heard.

Speaking at the New York conference, Stephen Blyth, the head of internal management at Harvard Management Company and a lecturer in statistics at Harvard, said that although the inversion of long-held