Quantitative Finance in the post-Lehman Dodd-Frank Landscape


Stephen Blyth, Harvard Management Co. 


We discuss forces that have been reshaping the quantitative financial landscape over the past three years, in particular: empirical price action following the Lehman bankruptcy that challenged long-established logical arguments; a long series of government intervention, from the opening of the discount window through TARP and TLGP to QEI and II; and the looming impact of financial regulation following the passage of Dodd-Frank. We float the analogy that the practice of quantitative finance and risk management in this new environment where certain orderings no longer exist is similar to set theory without the Axiom of Choice: doable but more complex. We outline challenges and opportunities to investors, quants and risk-managers.


Please click on this link to view the presentation.