Summarizing these points I want to conclude that we have to ask ourselves whether we are at the moment perhaps relying too much on the use of internal risk models to determine capital charges. As I have argued, these models are rooted in a risk concept that is particularly misleading shortly before and in a crises because the endogenous nature of risk.
At the onset of a crisis the process that drives the data on which risk assessments are based undergoes a structural break and changes its nature. If we fail to take these effects into account we are led to flawed and misleading risk assessments.