Case Studies
- Natwest—Interest rate options and swaptions—incorrect model specification.
- Bank of Tokyo-Mitsubishi—Interest rate options and swaptions.
- LTCM—lack of stress testing—Crouhy, Galai, and Mark.
- Barclays de Zoete Wedd (BZW)—Mispriced currency options.
- National Australia Bank $3 Billion AUD loss on Homeside interest rate model.
- 2007–2012 global financial crisis Over reliance on David X. Li's Gaussian copula model misprices the risk of CDO's.
Read more about this topic: Model Risk
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