Derman: Don't confuse models with reality
NEW YORK - Models were not responsible for the financial crisis, but those using them need to remember the shortcomings of models in general, asserted Emanuel Derman, head of risk at Prisma Capital Management and professor at Columbia University, at Risk 's Quant Congress USA conference in New York last week (July 14).
Heavy criticism has been heaped on financial modelling since the beginning of the financial crisis. The Gaussian copula has been lambasted for underestimating credit tails, for
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