A model future (part I)


My December 2011 column "KRIs: the Forgotten Input" produced quite a number of comments and emails, even until these days, from industry practitioners, regulators and bankers from all over the world, most of them praising the general idea and asking more details on how to make these models work. Of course there were a few emails that expressed disbelief that these models might work. Some are calling this model a "factor-driven model" or in short, "factor models" (some also call it "structured

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