Blame the models

Journal of Financial Stability

Volumn 4, Issue 4, 2008, Pages 321-328

  Daníelsson, Jón ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Credit rating; Endogenous risk; Regulation by models; Risk models; Value at risk

Indexed keywords

EID: 56949095071     PISSN: 15723089     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfs.2008.09.003     Document Type: Article

References (11)

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3. Danielsson J. The emperor has no clothes: limits to risk modelling. J. Bank Finance 26 7 (2002) 1273-1296
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5. Duffie D. Innovations in Credit Risk Transfer: Implications for Financial Stability (2007), Stanford University, Mimeo
6. Financial Times (2007). Goldman pays the price of being big. Financial Times, August 13, 2007 edition.
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11. Wall Street Journal (2007). One 'Quant' sees shakeout for the ages - '10,000 Years'. Wall Street Journal, August 11, 2007 edition.