FSA criticises overreliance on quantitative models
The UK Financial Services Authority (FSA) last month criticised banks for excessive use of quantitative models for risk management purposes. In the Turner Review, a detailed analysis of the causes of the financial crisis and necessary reforms published on March 18, attention was drawn to the use of short observation periods when calculating value-at-risk, an underestimation of the occurrence of high impact events and a tendency to assume past distribution patterns are sufficient to predict the
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