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QFINANCE: The Ultimate Resource, 4th edition

Rethinking finance teaching after the crisis Jayanth R. Varma holds a doctorate in management from the Indian Institute of Management, Ahmedabad, where he is now a professor of finance. The Ultimate Resource, out September Financial education will be on the UK curriculum from , so perhaps it's time to look at how we teach it.

The global financial crisis evoked parallels with the Great Depression of the s, the panic of , the sovereign defaults of the s and s, and the financial and sovereign debts of the s and s. From a long historical perspective, it is not the crisis, but the Great Moderation that preceded it in the late s and early s, that seems more like the aberration.

Since high-quality data do not usually go back more than a few decades, we do not have the option of fitting econometric models directly to centuries of data. Students should be taught robust models that are qualitatively consistent with decades, if not centuries, of history.


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Newer, more nuanced models became well established in finance theory in the last couple of decades; the financial crisis has not discredited them, whereas it has showed up problems with older, oversimplified models. The capital asset pricing model CAPM was developed half a century ago, but remains the workhorse model in the classroom today. Modern finance theory, on the other hand, has moved on to models where the measure of risk is multidimensional and factors include size, value, momentum and liquidity. The global financial crisis evoked parallels with the Great Depression of the s, the panic of , the sovereign defaults of the s and s, and the financial and sovereign debts of the s and s.

From a long historical perspective, it is not the crisis, but the Great Moderation that preceded it in the late s and early s, that seems more like the aberration.

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Since high-quality data do not usually go back more than a few decades, we do not have the option of fitting econometric models directly to centuries of data. Students should be taught robust models that are qualitatively consistent with decades, if not centuries, of history.

Newer, more nuanced models became well established in finance theory in the last couple of decades; the financial crisis has not discredited them, whereas it has showed up problems with older, oversimplified models. The capital asset pricing model CAPM was developed half a century ago, but remains the workhorse model in the classroom today.

QFINANCE: The Ultimate Resource, 4th edition: Bloomsbury Information

Modern finance theory, on the other hand, has moved on to models where the measure of risk is multidimensional and factors include size, value, momentum and liquidity. VaR models based on past data led to catastrophic underestimates of true risk. Meanwhile, the study of market microstructure has become one of the most exciting fields in finance, and a vast literature of elegant models has emerged.


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In finance teaching, however, it is only covered in specialized courses, if at all. It was thought that the weird phenomena that take place at the short time scales relevant to market microstructure wash out over longer time periods and become irrelevant for mainstream finance; the global financial crisis has shown this is not so.