The Baseline Scenarioでジェームズ・クワックが、「ロンドンの鯨」事件でExcelが果たした役割についてまとめている: JPMorgan’s Chief Investment Office needed a new value-at-risk (VaR) model for the synthetic credit portfolio (the one that blew up) and assigned a quantitative whiz (“a London-based quantitative expert, mathematician and model developer” who previously worked at a company that built analytical models) to create it. The new model