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
Models and risk
Bloggs and appendices on risk, models, regulations, cryptocurrencies and related topics© All rights reserved, Jon Danielsson,