The King of Quants: A Conversation with Emanuel Derman

Discussion in 'Options' started by DerivativesG, Jun 1, 2008.

  1. About Moody’s KMV
    Moody’s KMV, a wholly owned subsidiary of Moody's Corporation, is the world’s leading provider of quantitative credit risk analysis tools to lenders, investors, and corporations. Moody’s KMV's tools provide current default probabilities, recovery estimates, valuations and correlations, and are widely used to assess portfolio risk/return. Serving over 2,000 clients in 80 countries, including most of the world's 100 largest financial institutions, Moody’s KMV maintains the largest and cleanest database of corporate defaults in the world. In addition to its San Francisco headquarters, Moody’s KMV has offices around the world to serve its global customer base.


    Clearly these people are idiot savants.
     
  2. Idiot savants or just idiots? Did they sidestep last Fall's meltdown? :confused:
     
  3. Its entirely possible that these peoples models result in the collapse of the entire global banking system.

    MCO is about to go into a death spiral.
     
  4. Merely blaming the models of "these people" responsible in the collapse of the entire global banking system is a bit far fetched.

    The entire global banking system is a hybrid system and has many players in it.

    When I posted that link, I was hoping that someone will comment on the Black-Derman-Toy Model and not on some self-induced conspiracy theory.
     
  5. Although the linked interview mentions the BDT Model, it does so in passing and says practically nothing about it, so it is not possible to comment on it based on the interview. Perhaps if you found another source ... ?
     
  6. Here is a link to a document explaining the implementation of the BDT Model.

    http://www.lcy.net/files/BDT_Seminar_Paper.pdf

    On Page 6, you can also see a short list of the other models ie Vasicek and Ho Lee.