Banks uncover hidden challenges of data, computing power and need for joined-up approach
Sponsored Q&A: Asset Control, Murex, Vector Risk, CompatibL and Parker Fitzgerald
Firms hope to leave out non-modellable risk factors deemed "immaterial"
Swaps unit of commodity trading giant describes increasing need for derivatives on resins prices
FRTB model approval regime dogged by confusion and controversy
Banks argue valuation adjustments should be left out of the model approval process
Collapse in sterling expected to see in-flight deals renegotiated
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The authors of this paper simulate realistic total bank return distributions by means of a top-down copula approach for different parameter settings.
Concerns over the governance of submitted data and costs could spawn rival initiatives
Testing value-at-risk models in emerging markets during crises: a case study on South Eastern European countries
This paper examines the applicability of a wide range of VaR models in emerging markets, focusing on South Eastern European countries.
"The jury is still out on whether internal models are worth the effort" – HSBC's Jenkins
Sponsored forum: Asset Control
Parallel shifts and trading desk reshuffles mooted as fix for non-modellable risk factors
Industry study challenges regulators' estimate of a 40% capital increase
Cyber crime and nanoparticles represent emerging risks for insurers, says John Scott
Distributed ledgers can benefit – and won't replace – CCPs, says Nasdaq Clearing president
Pooling market risk factor data could cut capital requirements
Using Volcker desk structure may hurt model approval chances, banks say
Dealers face test of endurance to win model approval and avoid penal standardised charge
The authors develop a framework that consistently and fully integrates the market, credit and country transfer risks of a general portfolio of financial assets in a multi-period setup.