11. November 2026

Prof. Dr. Wim Schoutens, University of Leuven

Abstract:
This talk illustrates the enormous model risk that is present in the quantitative finance and other domains. Various models calibrated to the same data can lead to significant different results. Even within a single model, particular choices, like the objective function of a calibration, the numerical scheme of a Monte-Carlo simulation, the instruments to include or exclude from the calibration exercises can again lead to a variety of different outcomes. As a result, we must conclude that there is quite a bit of uncertainty around various pricing exercises. This issue is also present in other domains of science, like climate modelling, and hence one has to be cautious by using the outcome of a single model for policy making. Finally, we connect model risk with conic finance.

Bio:
Wim Schoutens is professor in risk management, quantitative finance and financial engineering at the University of Leuven, Belgium. He has extensive practical experience of model implementation and validation. He is well known for his consulting work to the banking industry and national and supra-national institutions. He is an independent expert advisor to the European Commission, has worked for the IMF and is the author of several books on quantitative finance.

He has been an expert witness for the Court of Justice of the European Union in Luxembourg. He is also member of different editorial Boards of international finance journals. He is Editor-in-Chief for "Frontiers in Mathematical Finance" and for "Review of Derivatives Research". Wim is also a founding partner of RiskConcile, a fintech company with roots within the University of Leuven.