After seven years of existence, the GRA team continues to explore the issues of risk quantification. This third booklet still demonstrates the perseverance of the GRA work and reflects the numerous questions the team faces daily.

Summary :

-Back-testing of Expected Shortfall: Main challenges and methodologies

-Stochastic modelling of the loss given default (LGD) for non-defaulted assets

-Cat bonds & Artificial Neural Networks | An example of reinsurance products’ pricing using machine learning methods

-Comments on the “Standardised Measurement Approach for operational risk–Consultative Document”

-Can bitcoin’s price be forecasted like any other asset?