Understanding the Financial Crisis:

Did Mathematical Models Fail?

Portfolio Risk Analysis in the New, New Millennium

Gregory Connor (NUI, Maynooth, Economics)

The global credit-liquidity crisis of 2007-2008 can be traced in part to an appalling failure of financial risk management systems. This presentation will discuss the emerging research agenda in quantitative modeling for portfolio risk analysis, in response to this failure. There will be an increased focus on liquidity risk modeling, a critical rethink of risk management reporting lines in the context of agency theory and corporate governance theory, growing importance for behavioural and game theoretic analysis, and a precipitous decline in the use of econophysics.