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The Quantitative Revolution and the Crisis
Research Symposium --
The Quantitative Revolution and the Crisis: How Have Quantitative Financial Models Been Used and Misused?
The popular press and a recent spate of remarkable books have pointed critically to the contribution of financial innovation and quantitative models to the financial crisis. These critiques have cited particular statistical approaches, such as the Gaussian copula, for massively underestimating systemic risk. The broader critiques doubt the risk management capabilities of firms and regulators to understand and evaluate complex financial instruments, such as synthetic securities. These critiques cut at the core of the Basel II international regulations which permitted banks to create their own models to value illiquid and risky assets. They also have major implications for the design of a regulatory system and regulations regarding whether regulation is at all possible, who is best able to do it, and ultimately if complex financial innovation should be sharply curtailed.
This symposium brought together academics and financial professionals to discuss the impact of the quantitative revolution in financial markets and the challenges posed to exchanges, institutions, regulators and other players.
Co-hosted by: The Center on Japanese Economy and Business and the Sanford C. Bernstein & Co. Center for Leadership and Ethics
Friday December 4, 2009
8:30 a.m. – 2:00 p.m.
Venue: The Italian Academy
|8:30 – 8:45 AM|
Breakfast and Registration
|8:45 – 9:00 AM|
Welcome and Introduction
Introduction of Keynote speaker by Bruce Kogut
|9:00 – 9:45 AM|
Donald MacKenzie is one of the leading scholars on the impact of option modeling on market behavior as well as a frequent contributor to the current debate.
|9:45 – 11:15 AM|
Panel 1: Does the Practice of Quantitative Finance Need to Be Changed?
See video of this panel on YouTube.
Paul Glasserman (Moderator)
(15 minute presentations, 30 minutes Q&A )
|11:30 – 1:00 PM|
Panel 2: Why Was the Financial Crisis Less Enduring in Japan and Other Countries…this time around?
See video of this panel on YouTube.
Ronald Gilson (Moderator)
|1:00 – 2:00 PM||Closing Remarks and Buffet Lunch|
Researchers and faculty interested in attending future symposia can contact: leadershipethics (AT) gsb (DOT) columbia (DOT) edu.
Related Academic papers
Beunza, Daniel and Stark, David, 2009, "Looking Out, Locking In: Financial Models and the Social Dynamics of Arbitrage Disasters", available at SSRN.
MacKenzie, Donald "All Those Arrows", June 2009.
MacKenzie, Donald "Is Economics Performative? Option Theory and the Construction of Derivatives Markets", June 2006.
MacKenzie, Donald "Models as Coordination Devices".
Derman, Emanuel "On Fischer Black: Intuition is a Merging of the Understander with the Understood". Talk delivered at Bloomberg, NYC. November 24, 2009.
Derman, Emanuel "Models".
Watch the trailer for our interactive debate entitled “Financial Innovation: A Risky Business?”
February 28, 2014
Inclusive Growth for Entrepreneurs
The Small Worlds of Corporate Governance
Identifies "structural breaks" — privatization, for example, or globalization — and assesses why powerful actors across countries behave similarly or differently in terms of network properties and corporate governance.
View the Bernstein Center brochure, Ethical Challenges in Business