Transcription of Model Risk Management - Deloitte
{{id}} {{{paragraph}}}
Example: air traffic controller
Model Risk Management - Deloitte
Model Risk ManagementDriving the value in modellingApril 2017, Risk Advisory 2017 Deloitte Conseil2 AgendaCONTEXT 1 APPENDIX 6 CONTEXTMRM CONTENTSDELOITTE MRM OFFERCONTACTSAPPENDIXCREDENTIALS 2017 Deloitte Conseil3 Part 1 ContextCONTEXTMRM CONTENTSDELOITTE MRM OFFERCONTACTSAPPENDIXCREDENTIALS 2017 Deloitte Conseil4 CONTEXTMRM CONTENTSDELOITTE MRM OFFERCONTACTSAPPENDIXCREDENTIALSHow important is Model risk ? Model risk may be particularly high, especially under stressed conditions or combined with other interrelated trigger Morgan The London WhaleImpacts:thebankmadelossesof 6bnandwasfined 1bnWhathappened?Thebank sChiefInvestmentOfficerwasresponsiblefor investingexcessbankdepositsinalow-riskma nner. Tohedgeagainstpossibledownturnsintheecon omy,theCIOboughtsyntheticCDSderivatives. Initiallyintendedasanhedgingstrategy,thi sportfoliobecamea speculativesourceofprofitandincreasedfro m$4bnin2010to$ , modelriskinvolved?
LTCM – Arbitrage investment strategies. Impacts: the hedge fund lost $4.4bn in 1998, depleting almost its entire capital. What happened ? The hedge fund was established by renowned bond traders and the main shareholders included Nobel prize-winning economists (Myron Scholes and Robert Merton). Investors consisted in
Loading..
Tags:
Information
Domain:
Source:
Link to this page:
Please notify us if you found a problem with this document: