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Scholes & Merton also joined a hedge fund that traded based on their models and cased a financial crash after the Russian bond default in 1998 which their model
by adambyrtek 7y ago
Scholes & Merton also joined a hedge fund that traded based on their models and cased a financial crash after the Russian bond default in 1998 which their models didn't take into account. Great example of a black swan event.
https://en.wikipedia.org/wiki/Long-Term_Capital_Management https://en.wikipedia.org/wiki/Long-Term_Capital_Management
- HenryKissinger 7y agoIt's only a black swan event if you pay no attention to geopolitics, which unfortunately banking types don't, at least not beyond WSJ/FT headlines.
- mruts 7y agoA more accurate statement would be that most fund managers care about geopolitics too much, and quants too little.