Malz, Chapter 11: Assessing the Quality of Risk Measures Study Notes contain 10 pages covering the following learning objectives:
* Describe ways that errors can be introduced into models.
* Explain how model risk and variability can arise through the implementation of VaR models and the mapping of risk factors to portfolio positions.
* Identify reasons for the failure of the long-equity tranche, short-mezzanine credit trade in 2005 and describe how such modeling errors could have been avoided.
* Explain major defects in model assumptions that led to the underestimation of systematic risk for residential mortgage-backed securities (RMBS) during the 2007- 2009 financial downturn.
After reviewing the notes, you will be able to apply what you learned with practice questions.Shop Courses