Credit quants get schooled after liquidity storm upends trading

The hottest quants coming into 2020 just learned the hard way that computer-driven models are no match for a liquidity storm.
Photo: Colourbox
Photo: Colourbox
By Justina Lee / BLOOMBERG

The seizing up of debt markets sparked by the coronavirus and oil crash humbled bond investors of all stripes. For rules-based funds angling to replace their discretionary peers in particular, it’s sparked some soul searching on how their models have handled the unprecedented turmoil.

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