Malz, Chapter 11: Assessing the Quality of Risk Measures is a 32-minute instructional video analyzing the following concepts:
* Describe ways that errors can be introduced into models.
* Explain how model risk and variability can arise through the implementation of VaR models and the mapping of risk factors to portfolio positions.
* Identify reasons for the failure of the long-equity tranche, short-mezzanine credit trade in 2005 and describe how such modeling errors could have been avoided.
* Explain major defects in model assumptions which led to the underestimation of systematic risk for residential mortgage backed securities (RMBS) during the 2007-2009 financial downturn