FRSGlobal, a part of Wolters Kluwer Financial Services, a leading worldwide provider of compliance and risk management solutions for the financial services industry, today announced it will be ...
BNP Paribas and Deutsche Bank recorded two value-at-risk backtesting exceptions each in April, joining a growing list of global peers whose models were caught out by volatile markets following US ...
Recent results have shown backtests of expected shortfall (ES) are necessarily approximated, in the sense that they are unavoidably sensitive to possible errors in the prediction of value-at-risk.
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