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
Our host Devin Cook is joined by Alexis David, both Senior Consultants within Acadia’s Quantitative Services team. They discuss the merits of Open-Source Risk...
John Pucciarelli sits down with ISDA CEO Scott O’Malia for an in-depth discussion on the evolving landscape of the derivatives markets. Scott outlines the...
Join our host Scott Sobolewski as he interviews Roland Stamm, Partner within Acadia’s Quantitative Services division on the important topic of model validation both...