Rajiv Sesodia

Standard Chartered Bank

United States

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Quantifying Model Performance

Number of pages: 20 Posted: 19 Dec 2018 Last Revised: 31 Mar 2019
Alexandre Antonov, Jan F. Baldeaux and Rajiv Sesodia
Abu Dhabi Investment Authority, Standard Chartered Bank and Standard Chartered Bank
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Abstract:

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hedging performance, model performance, payoff replication, model risk, P&L explain