Effectively understanding if and how to model the un-modellable

Effectively understanding if and how to model the un-modellable

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Pascal Gibart, Head of Risk Quants at Credit Agricole CIB, releases his PDF guide on NMFR and SES. Download the PDF document to gain insights on:

  • Regulatory Framework for Risk Factors
  • Stressed Expected Shortfall for NMRF
  • Carefully defining Risk Factors
  • Idiosyncratic Credit risk factors
  • Historical approach
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