MAP20200024156 Forrest, Alan Model behaviour / Alan Forrest Sumario: At the bank where I work, I manage the risk of an important high exposure portfolio, but it is not a portfolio of loans or insurances, nor a trading book or pension fund. My portfolio is something completely different but it is clearly a portfolio, an inventory of equally managed entities with a stochastic loss profile and correlated interactions. I am not a front office quant, nor a fund director; I am not even an actuary. I am in fact the head of the Model Risk Oversight team, and the portfolio I am talking about is a portfolio of models En: The Actuary : the magazine of the Institute & Faculty of Actuaries. - London : Redactive Publishing, 2019-. - 01/07/2020 Número 6 - julio 2020 , p. 18-19 1. Banca . 2. Gerencia de riesgos . 3. Modelos de gestión . 4. Riesgo financiero . I. Título.
Centro de Documentación
Centro de Documentación