QuantSpeak

Could Correlation-Based Risk Management Prevent 'London Whale' Size Losses?

October 26, 2021 CQF Institute / Natalie Packham Season 1 Episode 1
QuantSpeak
Could Correlation-Based Risk Management Prevent 'London Whale' Size Losses?
Show Notes

QuantSpeak host, Dan Tudball, is joined by Professor Natalie Packham to discuss her recent research on the 'London Whale' incident of 2012 and how a new correlation-based approach could have helped prevent over $6 billion in losses.