EIF Staff Paper, "Models hold risk"

  •  
    Date: 10 June 2003

Financial institutions rely heavily on quantitative models, e.g. for pricing, valuation and risk assessment. Model-development, -implementation, and -application are often complex and error-prone processes - the resulting risk is the so called "model risk".

This document provides background information about the causes and effects of model risk as well as the analysis of the market best practice to control and mitigate this type of risk.

  • Article written in German by Dr. Helmut Krämer-Eis.
  • Publication: Kredit & Rating Praxis - 03/2003

Read the document


 
 

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