BoE’s Haldane criticises financial models


Andrew Haldane, an executive director at the Bank of England, presented a paper he co-authored with Benjamin Nelson, a Bank of England economist, on June 8. The paper criticises financial models which, it says, continue to underestimate risk.

Speaking at a conference at the University of Edinburgh, Haldane set out the paper's argument that financial models based on the normal distribution significantly underestimate the "catastrophe risk" represented by the fatness of the underlying distribution

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