Quantitative Finance in the Post Crisis Financial Environment

Kevin D. Oden
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Kevin D. Oden: Wells Fargo & Co.

A chapter in Commercial Banking Risk Management, 2017, pp 395-418 from Palgrave Macmillan

Abstract: Abstract Mathematics and finance interrelated deeply in the last 60 years since Markowitz’s seminal work on portfolio selection theory in 1952. In the chapter I briefly explore some fundamental quantitative problems associated with five modern risk areas: the fair value of credit, debt, funding and capital risk, collectively known as XVA risk; operational risk, fair lending risk, financial crimes risk, and finally model risk. The problems analyzed fall both in the category of “old with exposed flaws” as well as “new and in search of new tools”. While it is not intended as a comprehensive list of all of the quantitative problems facing the industry today, however, these problems have emerged post-crisis and have found themselves on the top of many firm and regulatory agendas in many respects.

Keywords: Credit Default Swap; Money Laundering; Market Risk; Credit Spread; Credit Quality (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-59442-6_16

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DOI: 10.1057/978-1-137-59442-6_16

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