Darwinian Model Risk and Reverse Stress Testing
Offered By: Society for Industrial and Applied Mathematics via YouTube
Course Description
Overview
Explore the concept of Darwinian Model Risk and Reverse Stress Testing in this 53-minute virtual talk presented by the SIAM Activity Group on Financial Mathematics and Engineering. Delve into the risk of adverse model selection in trading, where seemingly competitive pricing models can lead to significant losses during stress events. Examine how this directional risk often goes undetected by traditional risk systems and learn about potential detection methods through long-term, large-scale simulations. Gain insights from speaker Stephane Crepey of Université de Paris as he discusses the implications of this risk for banks and traders, drawing from recent research published in Risk Magazine and on SSRN.
Syllabus
Introduction
Context
Darwinian Model Risk
Profitability Puzzle
Applications
Conclusion
Questions
Taught by
Society for Industrial and Applied Mathematics
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