Common validation techniques for risk proxies found wanting

Research finds two out of three methods for checking index prices as proxies don’t properly gauge tail risk


New research suggests common model validation techniques may paint a misleading picture of how well risk proxies track the assets they are supposed to follow under extreme circumstances.

Using index prices as proxies for individual assets is common practice in modelling price risk – for example, in determining collateral haircuts, as it makes calculations much less computationally demanding. But in research due to be published in the Journal of Risk Model Validation later this year, Lukas

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here