Modelo errado

Financial meltdown blamed on risk models Web posted at: 2/14/2009 9:20:18 Source ::: FINANCIAL TIMES By Norma Cohen The failure of banks to count, manage and hedge their risks over the past decade is responsible both for the fantastic growth before 2007 and the crash that followed, according to the Bank of England’s director for financial stability. In a speech at a risk management conference yesterday, Andrew Haldane described how the world’s banking system found itself on the brink of collapse after a decade of self-congratulation at having conquered risk. The meltdown in money markets that followed the credit squeeze was an event that banks’ risk models showed could happen only once in the lifetime of the universe - once every 13.7bn years — Haldane said. Referring to economist John Maynard Keynes’ rule of thumb that it is better to be roughly right than precisely wrong. Banking losses now “lie anywhere between a very large number and an unthinkable one”, he said. In pinpointing reasons why the systems banks use to gauge how big their losses could be under worst-case scenarios were so wrong, Haldane noted that most are based on a very short-term view of the past.