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17/01/2011
The Basel Committee published in July 2009 a recommendation to Banks to assess and quantify «Model Risk» in order to produce adequate reserves. The recommendation is to be implemented by December 2010.
At first glance, this amounts to extend the process of quantifying risk already in place for market and specific risks to the modeling conundrum. In theory and practice, assessing model risk is a true challenge.
Less than twelve months before the deadline, there is no general consensus and very few academic contributions on this topic. |
La Banque Postale, l'Euria, Finance Concepts, l'Institut Louis Bachelier, l'Institut Télécom et Zeliade Systems are pleased to invite you to the 4th Parisian Model Validation Seminar which will take place
Thursday February 3rd 2011, 3:00 PM 5:45 PM, at Institut Louis Bachelier, Palais Brongniart, 28 Place de la Bourse, 75002 Paris.
With two talks by
Patrick Hénaff (Institut d'Actuariat, UBO)
Vers une mesure normalisée du risque de modèlisation
and
Adil Reghai (Natixis)
Model Evolution
Themed Workshops correspond to the desire to stimulate face to face debate between professional and academic worlds on the burning issues of our times.
The Institut Louis Bachelier's ambition is to bring forth new research subjects in order to meet new challenges, broaden the dialogue between professionals and academics, improve co-ordination of actions and unite players of excellence in the field of research.
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