No Good Deals—No Bad Models

Nina Boyarchenko

No 20140505, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: The recent financial crisis has highlighted the significance of unhedgable, illiquid positions in complex securities for individual financial institutions and for the global financial system as a whole. Indeed, the Basel Committee on Banking Supervision notes that \\"One of the key lessons of the crisis has been the need to strengthen the risk coverage of the capital framework. Failure to capture major on- and off-balance sheet risks, as well as derivative related exposures, was a key destabilizing factor during the crisis.\\"

Keywords: Model Uncertainty; Contingent claim pricing; Good deal bounds (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2014-05-05
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Related works:
Working Paper: No Good Deals - No Bad Models (2013)
Working Paper: No Good Deals - No Bad Models (2013)
Working Paper: No good deals—no bad models (2012)
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