We are very pleased to welcome Dr. Carlo Acerbi of MSCI to one of our private events today. We first got to know his work on the Expected Shortfall method when doing a deep dive on the Fundamental Review of the Trading Book (“Down With VaR, Up With the Expected Shortfall Method: A Primer for the FRTB,” April 2016). More recently, Acerbi and his colleagues at MSCI have been evaluating the whole idea of stress testing from the ground up. Their principals are highly applicable to regulations across securities finance, collateral management and derivatives.
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