Join our host Roland Stamm, Partner at Acadia’s Quantitative Services team alongside his colleague Joey O’Brien (Senior Consultant) as they explore the topic of Backtesting of Future Risk Factors. This discussion is inspired by a recent client engagement, focusing on the utilization of the Open-Source Risk Engine (ORE) library within a counterparty credit risk framework and the process of validating exposure simulation models. The whitepaper discussed can be found here (https://www.acadia.inc/insight/backtesting-of-future-risk-factors-march-2024-an-open-source-approach-to-validation-case-study) for more details.
The conversation shifts to the broader regulatory landscape, touching on recent developments from the Bank of England and the increased scrutiny following high-profile defaults like Credit Suisse in 2022 and Archegos. They discuss the implications of Basel III and FRTB on standardized model and how ORE is placed to aid in this challenge, alongside the cost benefits of using open-source software within the Internal Models Method (IMM).
Listen time: 20 mins
John Pucciarelli, Head of Industry and Regulatory Strategy and Stuart Smith, Co-Head of Business Development at Acadia sit down to discuss the regulatory outlook...
Join Chris Walsh, CEO at Acadia as he discusses his vision for the future of the derivatives industry once all six phases of the...
Scott O’Malia, CEO at ISDA returns for a ‘threepeat’, his 3rd time on the podcast. He joins John Pucciarelli, Head of Industry Engagement at...