Broaden your reach on model risk, quants told
Three banks say their model inventories are “a work in progress”
Model risk specialists must be prepared to take on far wider responsibilities as the definition of a model expands, conference delegates heard today.
Speaking at Quant Summit Europe in London, Mostafa Mostafavi, vice-president of risk and quantitative analysis at Credit Suisse, warned: “There are a lot of processes involved in calculating risk that have not previously been identified as models. These all need to be validated too – we need to look at that more carefully.”
Processes used for
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