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Market Risk: Calibration and Validation briefing slides 27 Sept 2011


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Our Model Validation briefing took place on 27 Sept 2011.

Highlights of the talk included:

  • How to ensure your assumptions are consistent and robust under challenge
  • New developments in back-testing and validation
  • Learning lessons from banking
  • Concrete examples based on interest rates, equity markets and credit risk

 

You can download presentation slides below.

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