Speaker Series: Jeremiah Lowin, "All Models Are Wrong"

One of a professional quant's most important skills is understanding when and why models fail. In a classroom, model output can be evaluated right away and errors motivate the study of more sophisticated models. In practice, however, it isn't immediately clear if a model's output is wrong, and errors can lead to disastrous decisions. It is therefore not enough for a quant just to build a model; he or she must also know when to trust it. In this talk, we will explore why models fail and how to anticipate and prepare for that inevitable outcome. We will also examine the concept of "wrong way risk": the danger that a model will fail at exactly the moment it is needed most.

When 4:00 pm to 5:30 pm on Monday, April 1, 2013
Building SMG
Room 310
Contact Name Drew Quinton
Phone 3-6078
Contact Email drewq@bu.edu
Contact Organization Math Finance
Fees Free
Speakers Jeremiah Lowin