Remodelling required?

Economic capital

asiarisk-nov08-59-gif

Risk quantification - never the most simple of tasks - has become a great deal more problematic in the past 18 months. With the global credit crisis escalating into a stress scenario deemed unthinkable in early 2007, many are now questioning the heavy reliance on modelling techniques in risk management. Models to assess credit, market and operational risk - the three major risk types under the Basel II Accord - have come under fire, with critics citing their inability to factor-in extreme events

To continue reading...