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Darwinian Model Risk and Reverse Stress Testing

Offered By: Society for Industrial and Applied Mathematics via YouTube

Tags

SIAM (Society for Industrial and Applied Mathematics) Courses Engineering Courses Risk Management Courses

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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