Questioning the numbers

Model risk


The dislocation in the structured credit market last April and May caused a widespread rethink of activities by both investors and issuers. It also resulted in a re-evaluation of the use of models to price, manage and understand risk, as they were perceived to have failed to explain some of the market movements of that time. The re-evaluation of models has since acquired momentum outside the credit market.

Today, the consensus opinion about what happened last year in the structured

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