Quant Congress Europe: Credit models linked to 'vicious circles'
Credit markets suffered as a result of incomprehension, misuse or disregard of credit models, not from a failure of the models themselves, speakers told Risk magazine's Quant Congress Europe conference in London today.
"Since the crisis, people have moved away from blaming models for everything, but I don't think we are entirely blameless," said Emanuel Derman, head of risk at Prisma Capital Management and professor at Columbia University. "There is still the temptation to believe that a very
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