Expected shortfall is hard to back-test, critics say – but the search for a solution is underway
Expected shortfall may be more conservative than VAR, but there are backtesting and stability concerns
Arch-critic of funding valuation adjustment says regulation will make it obsolete – reducing industry's exposure to arbitrage
In this white paper, Gordon Russell, Global Head of Risk at Broadridge Investment Management Solutions argues that the chances of survival in this new environment will be greater for funds that implement solutions to efficiently and cost-effectively manage data and risk.
More John hull articles
Academics who ignited fierce debate on funding valuation adjustment return with new paper
Nearly two thirds of survey respondents disagree with Hull and White’s argument that funding valuation adjustment should be ignored
No going back from FVA, says Imperial College professor – and other speakers at the conference agreed
The FVA debate continues
New York-based inter-dealer broker GFI has launched its credit derivatives pricing tool, Fenics Credit. GFI partnered with risk management and derivatives academics John Hull and Alan White to devel...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.