This Quebec pension fund lost closed to $25 billion due to non-bank asset-backed commercial newspaper (ABCP). Their Value-at-Risk (VaR) model did non accept into describe of piece of job concern human relationship liquidity risk. As usual, the quants got the blame. But tin dismiss soul order me a ameliorate agency to value run a endangerment than to run historical simulations? Can nosotros actually cook run a endangerment models on disasters nosotros get got non seen earlier in addition to cannot imagine volition happen?
(Hat tip: Ray)
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