It's NOT the econometrics, stupid
Risk modelling has come under the microscope since the onset of the crisis, with many blaming market risk models for exacerbating the crisis. Elizabeth Sheedy presents a defence of quantitative techniques
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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