Multi-factor model
Most banks stick to tried-and-trusted XVA models
Black Scholes- and Heath-Jarrow-Morton-based approaches dominate, with some exploring Copulas for wrong-way risk, post-Archegos
Statistical risk models
In this paper, the authors give complete algorithms and source code for constructing statistical risk models.
Multifactor risk models and heterotic CAPM
The authors of this paper give a complete algorithm and source code for constructing general multifactor risk models via any combination of style factors, principal components and/or industry factors.
The application of credit risk models to macroeconomic scenario analysis and stress testing
The authors demonstrate how different credit risk models can be efficiently implemented for scenario analysis and stress testing execution with concrete application examples.
Why multi-asset investing calls for 3G factor models
Factor models can be helpful in identifying unseen risks in investor portfolios
