Model Risk, Quants and the Law
Regulatory scrutiny of model-driven asset managers has increased in the frequency and severity of enforcement actions and fines.
The highest profile case to-date has been the one brought against AXA Rosenberg on charges of failing to properly correct and disclose a coding error in its investment model.
The potentially far-reaching implications of the order have forced managers who rely on quantitative strategies to reassess their oversight and controls.
The SQA has put together a program of senior regulators and distinguished investment professionals describing the evolving standards.
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