Quants and the financial crisis

A time long friend, Econtalk interviews Riccardo Rebonato of the Royal Bank of Scotland. Rebonato authored Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently and talks with EconTalk host Russ Roberts about the challenges of measuring risk and making decisions and creating regulation in the face of risk and uncertainty.

Rebonato in the interview discusses the role of the quant, the role of model based risk management, the data used to calibrate quant models, data relevance after systemic changes, recovery after the crises and incentive structure for players in the market.

Well worth a listen.