Risk modelling and valuation: Quantifying model risk

Risk modelling and valuation: Quantifying model risk

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Speaker(s): Paul Glasserman (Columbia University)

Financial institutions regularly rely on a vast number of models for valuation and risk measurement. Models may range in complexity from simple spreadsheets to advanced Monte Carlo simulations and other numerical methods.  Following the financial crisis of 2007-2009, regulators have put new emphasis on model governance, and researchers have sought new ways measure model risk.

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