Trends in Quantitative Asset Management in Europe
基于对欧洲多国资产管理公司的访谈，总结了2000年市场见顶后量化建模使用的六大变化，包括模型使用增加、性能提升、多模型应用、价值模型与市场情绪因子、风险管理强化及宏观不确定性。
This study of the use of financial modeling at European asset management firms is based on interviews at asset management firms in the Benelux countries, France, Germany, Italy, the Scandinavian countries, Switzerland, and the United Kingdom. Since the fall of the market from its peak in March 2000, there have been six major changes: 1) we have seen a sharp increase in the use of modeling and quantitative techniques; 2) the performance of models has improved, and market participants now have a better understanding of models and their limits; 3) there is a growing use of multiple models and of methods to handle them; 4) there is increased use of value-based models and of factors that measure market sentiment; 5) risk management has assumed a greater role, as the handling of extreme events has gained importance; and 6) uncertainty as to the macrotrends in financial markets remains high.