From Liquidity Crisis to Correlation Crisis, and the Need for ‘Quanls’ in

The liquidity crisis and the insufficient depth of the market led to a strong correlation crisis: many risks that could be considered as close to mutually independent in the classical regime suddenly became strongly positively dependent. More correlation crises may happen in the future. We need to be more careful with black-box tools and to train what I would define as ‘’quanlitative analysts’’ (‘Quanls’) in the Enterprise Risk Management (ERM) process, that is risk managers who are able to lead interdisciplinary ERM studies from a jointly qualitative and quantitative point of view, with an emphasis on dynamics.

Keywords: Enterprise Risk Management