Basel 3, Dodd-Frank, Solvency II, and of course, the Supervisory Guidance on Model Risk Management (OCC Bulletin 2011-12) all continue to force a major shift in model risk governance and current model validation best practices. This has led us to explore new and innovative model validation approaches.
In this Valuation Risk Handbook article, David Eliezer, PhD, Vice President and Head of Model Validation at Numerix , first discusses model validation as it is practiced today and then introduces new insights and best practices when it comes down to testing with mathematical identities.
Highlights include:
As Published in Voltaire Advisors’ Valuation Risk Handbook
Asia Risk Congress Virtual
On-Demand Webinar | Navigating SEC Rule 18f-4: Enhancing Derivatives Risk Management Programs
Asia Risk Congress
Risk Australia
NEXT 2020 Sessions On-Demand
Asia Risk Congress 2020
QuantMinds International 2020
Risk ASEAN 2020
Thinking Derivatively - December 2019 Issue
Thinking Derivatively - November 2019 Issue
Thinking Derivatively - October 2019 Issue
Risk and Libor Summit USA