With the focus on multi-horizon macroeconomic credit loss projection models in stress testing and impairments it is of interest to understand how different model assumptions can impact the projection under stressed and best estimate economic projections. In this paper we focus on the popular...

Using stock data that covers the period from 6th April 2001 to 17th June 2009, including data for the recent crisis period, we perform Value at Risk risk model validation by backtesting the performance of VaR models in predicting future losses of a portfolio of stocks, futures and options. The...

The replication of a portfolio of cashflow instruments with another set of cashflow instruments is frequently used for pricing and hedging. For example, replication of deposits with tradable bonds allows the treasurer to determine an approximate fair value of deposits and implement hedging...