Andrei N. Soklakov
Deutsche Bank AG (London)
April 30, 2013
We review the current practice in the design of investment products. It turns out that the quality of products can be substantially improved with a relatively small quantitative effort. Recognizing financial products as the ultimate output of our industry this approach puts demands on support infrastructure such as pricing models. This allows for critical review of modelling assumptions and leads to economically meaningful approach to model risk.
Number of Pages in PDF File: 13
Keywords: Optimal investments, Derivatives, Structuring, Model Risk
JEL Classification: C00, D83, G00working papers series
Date posted: May 10, 2013
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