Aaron Brown: to learn how to handle a crisis, create one
Scenario analysis still isn’t taken seriously; it should be, says AQR’s former risk chief
Back in 2018, Aaron Brown ran a pandemic scenario for a major financial institution. The exercise involved a disease that would spread like flu and kill like smallpox. It wasn’t so far off what is happening now.
Brown, one of the best-known figures in risk management, does not claim to have seen Covid coming, or even to have seen a pandemic coming. But pandemics are something he has thought about a lot, and he thinks the current crisis shows why scenario analysis exercises such as the one he
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Quant investing
Is low vol crowded? That depends who you ask
Equity drawdowns have pushed more investors into low volatility strategies, raising fears of a build-up of risk
The quant investor harnessing the power of ants
Swarm Technology designs network of trading algorithms that mimics hive mind of insects
Role of the dice: how Susquehanna puts game theory to work
One of the world’s largest options traders uses game theory – and poker practice – to get results
No link between geopolitical risk signals and returns – hedge fund
Gauges of geopolitical risk are better at predicting volatility than equity returns, research from XAI finds
Growth to value, and back via quality
Inflation-fuelled stock rotations are full of complexity
Geopolitical risk models not ‘rigorous’ enough, says quant
Joseph Simonian believes game theory and reinforcement learning could improve matters
AI models point to recession, but quants won’t trade on them
Predicting the odds of a recession, and how markets will respond, is still a step too far for machines
When stagflation looms, investors get no satisfaction
In a toxic inflation-stagnation mix, conventional trades and hedges falter; alternatives are unproven
