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Model behaviour

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20200024156
003  MAP
005  20200717150049.0
008  200717e20200701gbr|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎7
100  ‎$0‎MAPA20200016335‎$a‎Forrest, Alan
24510‎$a‎Model behaviour‎$c‎Alan Forrest
520  ‎$a‎At 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.
650 4‎$0‎MAPA20080538217‎$a‎Banca
650 4‎$0‎MAPA20080591182‎$a‎Gerencia de riesgos
650 4‎$0‎MAPA20080586461‎$a‎Modelos de gestión
650 4‎$0‎MAPA20080582418‎$a‎Riesgo financiero
7730 ‎$w‎MAP20200013259‎$t‎The Actuary : the magazine of the Institute & Faculty of Actuaries‎$d‎London : Redactive Publishing, 2019-‎$g‎01/07/2020 Número 6 - julio 2020 , p. 18-19