As part of the shutdown of a major investment bank, the risk calculation systems are being streamlined. At the same time, the “log-normal” model is changed to “shifted log-normal” due to the never expected negative interest rate.
As part of the shutdown of a major investment bank, the risk calculation systems are being streamlined. At the same time, the “log-normal” model is changed to “shifted log-normal” due to the never expected negative interest rate.