Alexander Campbell
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Articles by Alexander Campbell
SOFR drought, CB accounts for CCPs, and the Top 10 Op Risks
The week on Risk.net, February 29–March 6, 2020
CECL models may leave banks ill-prepared for next downturn
Mortgage backtest study shows some loan-loss models miss the mark
Break up big conduct risk losses to aid modelling, say quants
New approach delivers stable measure of conduct risk VAR, says senior op risk quant
FRTB capital levels, model risk and Korean linkers
The week on Risk.net, August 31–September 6, 2019
Complex op risk models open to high error, study finds
Measuring 1-in-1,000 year loss events ‘unrealistic’, researchers say
Op risk taxonomy, a Euribor futures spike and Sonia swaptions
The week on Risk.net, August 17–23, 2019
VAR lookbacks should shift dynamically, research suggests
Change-point analysis method helps identify regime shifts in equities markets, quants claim
Most active CDS users get biggest savings – research
CFTC economists see benefits to having many counterparties since move to Sef trading
Resampling ‘slashes’ credit risk VAR underestimates
Academics claim Vasicek model’s underestimation tendency can be slashed to near-zero
CCP margin buffers too big, research suggests
Procyclicality calculations should depend on expected spikes in volatility, argue Ice risk experts