Options for tackling model risk limited, conference hears
Greater use of models means risk "has significantly increased", says HSBC's Bhaskar
Model risk is difficult to quantify and capitalise, so banks should instead use an element of conservatism and work to improve their model governance, said a panel of bank model risk heads, speaking at Quant Summit Europe in London on April 14.
“There are always a lot of ideas about quantifying and capitalising model risk,” said Keith Garbutt, head of model risk management at Credit Suisse. “I’m a bit of a sceptic on that.”
Several commonly used bank models, such as value-at-risk and the
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