Continuing to rebuild

Laurie Carver
01 Dec 2010

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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

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