May 5, 2010

Myron Scholes on the importance of risk modeling

I haven’t changed my ideas. A bank needs models to measure risk. The problem, however, is that any one bank can measure its risk, but it also has to know what the risk taken by other banks in the system happens to be at any particular moment.

~Myron Scholes, 1997 Nobel prize in economics winner, "Crash Course", NYT Magazine online preview, May 5th, 2010

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