A model future (part I)

marcelo-cruz-morgan-stanley-2010

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

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: