Model behaviour

Recurso electrónico / Electronic resource
Collection: Articles
Title: Model behaviour / Alan ForrestAuthor: Forrest, Alan
Notes: 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.Related records: En: The Actuary : the magazine of the Institute & Faculty of Actuaries. - London : Redactive Publishing, 2019-. - 01/07/2020 Número 6 - julio 2020 , p. 18-19Materia / lugar / evento: Banca Gerencia de riesgos Modelos de gestión Riesgo financiero Other categories: 7
See issue detail