The Basel Accords require financial institutions to regularly validate their loss given default (LGD) models. This is crucial so banks are not misestimating the minimum required capital to protect ...
I discuss the incentive compatibility of comparative and calibration backtesting for banking regulation. In stylized models of risk reporting, calibration backtesting leads to uninformed risk reports ...
The European Market Infrastructure Regulation (EMIR) 3 Refit comprises many moving parts. One notable element is a process revision for the validation of the models used to calculate initial margins.
Some results have been hidden because they may be inaccessible to you
Show inaccessible results