In this paper, we aim to bring together into one common framework various advances in factor-based hedge fund replication. Our replication methodology relies on a set of investable dynamic risk factors...
US regulator is responsible for signing off models used for regulatory capital purposes
More Validation articles
Over the past 20 years, financial modelling increased in complexity to better describe complex market behaviours and allow market-makers to stay competitive in a maturing world. This maturity led, for example, to the proper handling of volatility surfaces...
With Solvency II fast approaching, obtaining approval for your internal model is increasingly important. A key part of this process will be to demonstrate the ability of the model’s scenario generation to describe the evolution of interest rates plausibly....
Welcome to Volume 9 Issue 4 of The Journal of Risk. This issue is made up of 4 technical papers: This issue contains papers that deal mostly with risk model validation from both empirical and theoretical perspectives. Peter Winker and Dietmar Maringer...
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.
Hong Kong, 1st - 31st Dec 2014
UK, 18th Mar 2015
Australia, 12th - 13th Aug 2014
Australia, 14th Aug 2014
USA, 20th - 21st Aug 2014