Blame the models
May 8, 2008
In response to financial turmoil, supervisors are demanding more risk calculations. But model-driven mispricing produced the crisis, and risk models don't perform during crisis conditions. The belief that a really complicated statistical model must be right is merely foolish sophistication.
Published on VoxEU.org
On the ideal properties of risk measures
Models and risk
Bloggs and appendices on artificial intelligence, financial crises, systemic risk, financial risk, models, regulations, financial policy, cryptocurrencies and related topics© All rights reserved, Jon Danielsson,