‘I feel like a guinea pig’ – lessons from an early IMA adopter
Risk Live: Nomura’s Epperlein urges flexible approach to backtesting exceptions
A senior risk manager at the first major global bank to use internal models to measure market risk under new capital rules, known as the Fundamental Review of the Trading Book (FRTB), has compared the experience to being in an experiment.
“I feel like a guinea pig,” said Eduardo Epperlein, global head of risk methodology at Nomura, speaking on a panel at the Risk Live Europe conference in London on
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