Overview
Join our host Roland Stamm, 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 utilisation of the Open Source Risk Engine (ORE) library within a counterparty credit risk framework.
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 standardised models and the cost benefits of maintaining Internal Models Method (IMM).