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Quantitative Finance in the Post Crisis Financial Environment

In: Commercial Banking Risk Management

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  • Kevin D. Oden

    (Wells Fargo & Co.)

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.

Suggested Citation

  • Kevin D. Oden, 2017. "Quantitative Finance in the Post Crisis Financial Environment," Palgrave Macmillan Books, in: Weidong Tian (ed.), Commercial Banking Risk Management, pages 395-418, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-59442-6_16
    DOI: 10.1057/978-1-137-59442-6_16
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