Cutting Edge introduction: systematic systematic factor models

cutting-edge-pic-1

Financial models are often accused of being artificial and out of touch with real, underlying economics. It’s time for quants to take seriously the workings of the engine, critics say – rather than polishing the mathematical chassis. 

Credit risk is one area where this was famously the case. Default times were said to be driven by systematic and idiosyncratic factors, with a co-dependence structure provided by a copula function. This did not go well for the industry in 2008, when systematic

To continue reading...

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