Risk Model and Model Risk
By: João P. da Cruz
From: Closer and Univ.Lisboa
At: Instituto de Investigação Interdisciplinar, Anfiteatro
[2011-05-26]
The attention that physicists devote to quantitative finance did not drop on the last decade, as the near 30 monthly submissions to the q-fin section of arxiv can easily show. In this talk, we will give some examples of the developments made at a private consulting company, Closer, at the Portuguese financial market, explore its merits and frame the limitations of the regulatory accepted risk modeling to discuss the apparent indifference that regulators and practitioners dedicate to the physicist heavy scientific production on the subject, particularly the one related to multi-agent modeling.