Looking at Black Swans


In 2004, I wrote a column entitled Op Risk and Black Swans (Risk September 2004, page 114). I had stumbled on to Nassim Nicholas Taleb’s musing about extreme events on the web two-and-a-half years before his book, The Black Swan, was published.

It was immediately clear to me he had found a far better hook for driving home the importance of extreme events than we risk managers had done up to that point. By assembling colourful examples, some based on stressful personal experience, and weaving an

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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