Lack of data makes AI technology unsuitable for risk management, say Cont and Rebonato
Derivatives add-on rubbished by Cont and Rebonato
New stress-testing method offers a break from decades-old traditio
Modifications by the Basel Committee are welcomed, but further changes are needed, dealers claim
CVA and the equivalent bond
Regulators might adapt the bond-equivalent approach amid claims the methodology will lead to perverse incentives
Regulators believe the IIF has over-estimated the effect of the planned Basel III reforms.
Dealers complain a long-awaited draft of standards for derivatives clearing platforms fails to address key issues.
Economic capital models
Matteo Mazzocchi, former global head of equity and credit derivatives at Dresdner Kleinwort, has moved to Royal Bank of Scotland (RBS).
Model risk has become a key focus for financial institutions. But how do dealers ensure their models are implemented correctly and that they accurately reflect the risks an institution is running? By Laurence Neville