È tempo di un nuovo modello?
Lo sviluppo di procedure interne per il calcolo dei requisiti patrimoniali ai sensi del Secondo pilastro di Basilea 2 ha favorito una crescente diffusione dei modelli di capitale economico. Ora, dopo i recenti episodi di turbolenza dei mercati, nascono alcuni dubbi sulla loro adeguatezza. Rob Davies
La quantificazione del rischio - un'attività che non è mai stata facile - è diventata ancora più problematica negli ultimi 18 mesi. L'aggravarsi della crisi creditizia globale, in uno scenario di stress considerato impossibile solo nei primi mesi del 2007, ha indotto molti a riflettere sull'eccessiva fiducia accordata alle tecniche di modellazione per il risk management.
I modelli per la valutazione del rischio di credito, di mercato e operativo - le tre principali categorie di rischio
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