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10th Parisian Model Validation Seminar
Institut Louis Bachelier, IAE Paris Panthéon-Sorbonne, Institut TELECOM
June 28, 2012 : Institut Louis Bachelier, Paris
Free registration. An email registration will be required to check for available seats
Please send your name, surname, professional affiliation and contacts (e-mail, phone)
here before the registration deadline (06/26/2012)
Registration
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With two talks by :
Alok Gupta (Deutsche Bank London & New York)
A Bayesian Approach to Robust Calibration of Local Volatility Models and
Piotr Karasinski (EBRD London)
Mindless Fitting?
Full Program
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Overview
In July 2009, the Basel Committee issued a directive requiring that financial institutions quantify “model risk”. The Committee further states that “banks must explicitly assess the need for valuation adjustments to reflect two forms of model risk: the model risk associated with using a possibly incorrect valuation methodology; and the risk associated with using unobservable (and possibly incorrect) calibration parameters in the valuation model."
At first glance, this seems to be a simple adjustment to the risk assessment framework already defined by “Pillar II” directives, adding “model risk” to the panel of risks that already include market risk and specific risk. It turns out that measuring model risk is a much more complex task, and this directive creates new challenges for academic researchers as well as practitioners.
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Deadline for registration 06/25/2012
The Seminar can be attended free of charge. An email registration will be required to check for available seats.
To registrer, please send your name, surname, professional affiliation and contacts (e-mail, phone) by e-mail to here before the registration deadline
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Venue
IAE, Université Paris 1 Panthéon-Sorbonne
21, rue Broca
75005 Paris
(Métro Censier-Dauberton, Gobelins)
More information
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