Kavita.bhangdia
Active Member
Hi David,
In meissner readings you have mentioned that in 2007 crisis, model for volatility and correlation was not a problem.. It was the inputs to these models that was problem, garbage in garbage out..
The I was reading crouchy in ops risk (model risk), from what I understand is that the model gave incorrect values of correlation and vol..and hence incorrect price..so is the model incorrect or assumption incorect?
Kavita
In meissner readings you have mentioned that in 2007 crisis, model for volatility and correlation was not a problem.. It was the inputs to these models that was problem, garbage in garbage out..
The I was reading crouchy in ops risk (model risk), from what I understand is that the model gave incorrect values of correlation and vol..and hence incorrect price..so is the model incorrect or assumption incorect?
Kavita
