While attending the recent Quant Congress in New York, Drs. Peter Carr (Bloomberg) and Alexander Antonov (Numerix) took time to share insights on how quantitative methods are adapting to today's market environment.
In many cases, traditional techniques for pricing OTC derivatives simply aren't appropriate anymore and can lead to complete model failure. In this video, Carr and Antonov discuss changes in modeling, methods and calibration that are necessary to account for issues such high volatility, counterparty credit risk and liquidity risk.
Watch the video here:
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