Description
Eric Schaanning, Group Head of Market and Valuation Risk Management at Nordea, shares insights on his new quantitative toolkit for reverse stress testing bank balance sheets. He explains how this toolkit, detailed in his research paper, addresses the limitations of existing regulatory scenarios by using machine learning to better identify vulnerabilities in interest rate risk.
Link to the original research paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4582564
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