Claudio Albanese: Model Risk and Reverse Stress Testing

Name: Claudio Albanese: Model Risk and Reverse Stress Testing
Uploaded: 2020-12-08
Duration: 1 min 32 s
Description: The presentation covers two articles exploring the connections and interplay between model risk and stress testing. Based on the same Champion and Challenger pair of models, the two articles discuss the cases of callable range accruals in the USD and the case of CVA/FVA metrics for a fixed income derivative portfolio in G10 currencies.

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2020-12-082021-10-15

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Claudio Albanese: Model Risk and Reverse Stress Testing

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