November 10, 2011

Understanding Model Risk

Dr.Didier Joannas addressed a group of quants, traders and risk managers among others at this event organized by PRMIA. The latest credit risk regulations being implemented across the region demand banks to establish mark to model practices in-house for their derivatives and structured product positions. By implementing the required advanced pricing analytics such banks are faced with a new kind of risk, model risk, which needs to be assessed and mitigated. Dr.Didier defined model risk both in terms of mathematical complexities and market realities and ways to manage/limit these risks with flexible models. The ABCD of building suitable models and the principles underlying their validation were discussed in detail over this one hour session.

A copy of the presentation is available at this link.Download file

The session was kindly sponsored by State Bank of India Singapore.

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