RiskBusiness exercise to improve capital models
LONDON – At the end of January, risk management consultancy RiskBusiness launched a benchmarking exercise to compare individual capital models of a group of 13 international firms in the run-up to model verification by regulators.
The exercise is aimed at understanding the effectiveness of scenarios in comparison to the use of internal and external data in capital modelling.
The exercise is necessary as there is a regulatory requirement to consider the use of scenario analysis alongside internal and external data. But scenario analysis is relatively immature among financial firms, where a scenario may be defined as an
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