Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008-2019)

SN Bus Econ. 2022;2(12):183. doi: 10.1007/s43546-022-00359-3. Epub 2022 Nov 9.

Abstract

This study provides a holistic and quantitative overview of over 800 mathematical methods (e.g., financial and risk models, statistical tests, statistics and advanced algorithms) taken out of sampled scientific literature on quantitative modelling, particularly, from financial and risk modelling by applying a bibliometric approach from 2008 to 2019 and a citation network analysis. This is done to elaborate on the influence in the field after the Financial Crisis 2008. We present a content analysis of journals, main topics, applied data sets and frontiers within quantitative modelling and highlight details about quantitative features such as implemented models, algorithms and aggregated model-family combinations. Moreover, we describe explications and ties to empirical stylised facts (e.g., asymmetry or nonlinearity). Finally, we discuss insights such as our main finding, namely, the non-existence of a "single-best"-approach as well as the future prospects.

Supplementary information: The online version contains supplementary material available at 10.1007/s43546-022-00359-3.

Keywords: Financial markets; Financial modelling; Literature review; Quantitative models; Risk modelling; Stylised facts.

Publication types

  • Review