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A Retrospective on the First 100 Episodes of the Alpha Exchange

Alpha Exchange

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The Language of Black Shoals in Modern Markets

The language of black shoals is everywhere in modern markets. So too is the concept of value at risk. It's so fascinating to look back on the financial crisis because of how incongruous and low the price of risk was relative to the actual risks that were building system wide. The very same factors that were causing val to clear at such low levels were the same factors contributing to systemic risk. These risks were highly qualified by models with strange names like galcian copula.

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