Quant Congress USA: "Only models were reliable during crisis," says AQR CRO

Quants push back against criticism of models at Risk's Quant Congress USA event in New York

Aaron Brown

Quantitative models were the only thing practitioners could rely on during the crisis while all else was failing in financial markets, according to the chief risk officer (CRO) of asset manager AQR.

Aaron Brown mounted a passionate defence of modelling during a panel discussion at Risk's Quant Congress USA event in New York, while launching a scathing critique of the general health of the financial system, and predicting a new crisis "within the next five years".

After Michael Sullivan, director

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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