The December issue of The Journal of Risk Model Validation consists of one backtesting paper and three papers on value-at-risk. There are a number of subthemes that involve at least two of the papers:...
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This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.