Dr. Andreas Mainik
Senior managerAndreas is a highly qualified software developer and architect with extensive experience in developing cloud applications, especially in the financial sector. He has taken on significant roles in the implementation and architecture of various IT solutions.
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Lessons Learned from AQR
This paper outlines the essential steps of the derivative pricing model review process, drawing on experience from the ECB's Asset Quality Review (AQR). It covers model adequacy, parameterisation, calibration, and reserves against model deficiencies.
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