ASIN: B00EMMM78U
Publisher: Amazon Digital Services LLC
Pages: N/A
I have reasons to love and reasons to hate internal models.I love them, because I started my career as a mathematician, and mathematicians usually love models, not people.(After that, I studied risk management, and later I continued with international law, so I am more social now. Way more social).I hate them only when I have to explain to the board of directors what their model does, and how it works.Board members are like kids, so I start with "not advanced" (high school) mathematics.Today, we discuss models in both, Basel iii (3 pillars in banking) and Solvency ii (3 pillars in insurance).This is the phrase that ruined my day:"The estimation noise can be significant"To make things worse, this is a phrase from Mr. Jaime Caruana,General Manager of the Bank for International Settlements.(2013 International Monetary Conference, Shanghai, Consistent regulatory implementation to keep ...
