It's NOT the econometrics, stupid


Scepticism has been growing around market risk modelling in recent times. You could even say risk modelling has become a pejorative term, something to be ashamed of if one is a practitioner of this black art. This scepticism has been expressed at the highest levels, and was in evidence in the Turner Review, a regulatory response to the global banking crisis published in March and written by Adair Turner, chairman of the UK Financial Services Authority. The report highlights misplaced reliance on

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