Articles by Eduardo Epperlein
The state of IMA: great expectations meet reality
Latest trading book rules overhaul internal models approach, but most banks are opting out. Two risk experts explore why
NMRF framework: does it satisfy the ‘use test’?
Non-modellable risk factors affect risk sensitivity and face practical and calibration difficulties, argue two risk experts
Infrequent MtM reduces neither value-at-risk nor backtesting exceptions
Frequency of repricing impacts volatility and correlation measures