Model risk

Hedge backtesting for model validation

Derivatives pricing and expected exposure models must be backtested as a basic regulatory requirement. But what does this mean exactly, and how can it be used to reserve against model risk? Lee Jackson introduces a general backtesting framework for…

Portfolio optimisation via replication

Filippo Della Casa and Michele Gaffo propose a new framework to run portfolio optimisation for life insurance business, by exporting the replicating portfolio technique from risk management to investment management. In particular, they develop a new risk…

A model future (part I)

Models that use factors such as key risk indicators, or KRIs, for inputs align the op risk function with credit risk and market risk - and may increase the effectiveness of operational risk within an organisation. Marcelo Cruz looks at key factors in…

Validating interest rate models under Solvency II

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…

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: