March 17th, 2013, 12:12 pm
QuoteOriginally posted by: HerdAlan,I think main problem here is FO shouldn't do VaR. And Model Validation should not get pressure to approve. And their recommandations shld be followed.In fact Risk should have more power, not be something that needs to exist in order to comply.If we follow your reasoning, then why not nationalisation? or have govt officials behind every desk?we also know that nationalisation and govt control is no way a guarantee against fuck ups.Like for the gaussian copula, I believe this is again mostly a business issue, rather than a model one. Even good model val wouldn't change much, probably. VaR, IRC and CRM are just indicators built on the ground of some assumptions. Sky-rocketing VaR, IRC or CRM numbers can be unrealistic, but the business shouldn't dismiss them as unreasonable without looking into why the models are behaving wildly.