FRTB
ModVal.org releases the first phase of FRTB validation content, covering
The release of second phase covering Internal Model Approach (IMA) to follow.
QUANT
Rita Gnutti, Fabio Lania, and Alexander Sokol will present "FRTB Theory and Practice"
pre-conference workshop at Quant Summit Europe on Monday, March 13.
Click here to see the workshop program
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Model Validation
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Published Research
Reproduce and review every step of the calculations from the latest research papers, including
“Rethinking Margin Period of Risk” by Leif Andersen, Michael Pykhtin, and Alexander Sokol.
Popular Pages
Andersen Pykhtin Sokol
The model assumes that for ETD of t, there are four model parameters which refer, respectively, for each
party to the number of days between the last observation date for which margin flow by that party was completed as prescribed...