Continuing to rebuild

Cutting Edge's annual statistics round up sees the quant community focus on restoring theory rocked by the financial crisis

The spectre of the financial crisis still hangs over quantitative finance, and 2010 was all about fixing the areas that the crisis found wanting.

The most dramatic development on those lines was the move to a multi-curve interest rate world, after negligible pre-crisis spreads blew out into variables in need of modelling. Nowadays, Ireland is in the news for 600-basis-point spreads over bunds, but the phenomenon first appeared in the interbank market, and it was here that Risk’s first paper on

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 or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a 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