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Isda pushes to decouple Simm calibration from model changes
Isda pushes to decouple Simm calibration from model changes
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United kingdom
Tara kruse
Eduardo epperlein
Nnamdi okaeme
European banking authority
European union
International swaps
United kingdom prudential regulation authority
Derivatives association
Prudential regulation authority
European market infrastructure regulation
Infrequent MtM reduces neither value-at-risk nor backtesting exceptions
Frequency of repricing impacts volatility and correlation measures
City of
United kingdom
Eduardo epperlein
Jean herskovits
Xaver sailer
Kenichi kurasawa
Luca gerolla at imperial college london
Imperial college london
International settlements
Fundamental review
Basel fundamental review
Trading book
John sleath
Luca gerolla
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