I am looking for literature on comparison of these two approaches.
It looks like many places are using some type of Factor-based Model (Barra, Axioma, Northfield, etc.) for risk management purposes. Given this and emerging Multi-Asset Class risk models based on set risk factors, will there be a place for Full Revaluation in the future? Or do we expect standardized risk factors, which will be suitable for complex, multi asset portfolios?
Any thoughts/opinions appreciated!