To model the real world, quants turn to synthetic data

Future financial models will be built using artificially generated data

Black swans are like kryptonite to quants. When faced with extreme and unexpected events, their carefully constructed models seem to quickly lose their predictive power.

The coronavirus pandemic is another example of this. With consumers locked down and businesses in limbo, markets saw some of the largest daily swings in nearly a century. Quant models struggled to cope.

Trading losses repeatedly exceeded banks’ value-at-risk estimates, leading in some cases to procyclical capital add-ons in

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

If you already have an account, please sign in here.

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…

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