Quant Funds: Model Risk and Error Disclosure Missing From Many Radar Screens

Jul 19th, 2011 | Filed under: Hedge Fund Industry Trends, Hedge Fund Operations and Risk Management, Institutional Investing, Performance, Analytics & Metrics, Today's Post | By:
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By Christopher Faille

A settlement early this year between the Securities and Exchange Commission (SEC) and the AXA Rosenberg Group LLC (ARG), along with other entities affiliated with ARG, took much of the asset-management industry by surprise, according to a recent benchmarking survey of market practice on model risk prepared by Capital Market Risk Advisers and the International Association of Financial Engineers.

Specifically, 42 percent of the respondents to the CMRA/IAFE survey said they were surprised either by the fact that the SEC concerned itself with models unrelated to financial reporting or disclosure or by the implication that model error ought to have been disclosed.
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  1. [...] Computer says no, quant model [...]

  2. [...] Quant managers need to be more forthcoming about model risk.  (All About Alpha) [...]

  3. [...] Specifically, 42 percent of the respondents to the CMRA/IAFE survey said they were surprised either by the fact that the SEC concerned itself with models unrelated to financial reporting or disclosure or by the implication that model error ought to have been disclosed. More… [...]

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