Our research on model validation covered in Risk.net

22 Mar 2019

News and analysis website Risk.net popular among professionals in the finance industry has published a story on research by Lukasz Prorokowski. Our research shows that two out of three methods common in baking industry (and largely approved by regulators) for checking index prices as proxies do not properly gauge tail risk. Common model validation techniques may paint a misleading picture of how well risk proxies track the assets they are supposed to follow under extreme circumstances. Full story is available at https://www.risk.net/risk-management/6491511/common-validation-techniques-for-risk-proxies-found-wanting (subscription only).

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