Balter, Janine; McNeil, Alexander J. - In: Risks : open access journal 12 (2024) 1, pp. 1-15
Under the revised market risk framework of the Basel Committee on Banking Supervision, the model validation regime for internal models now requires that models capture the tail risk in profit-and-loss (P&L) distributions at the trading desk level. We develop multi-desk backtests, which...