Impact of Federal Reserve and OCC model risk guidance is being felt well beyond US banks
Surging availability of data lets firms with best market insight gain an edge
Past performance of financial models is no guarantee of future success, two forthcoming papers suggest
New rules needlessly confusing, say distributors
Regulator demands could lead to "tick-the-box" exercise, hear delegates at Quant Summit Europe
Global head of market modelling is no longer with the bank, say industry sources
Developments since 2008 open up exciting possibilities, says Kimmo Soramäki
Basel Committee's "tantrum-like reaction" is not supported by evidence, say practitioners
In this paper the use of B-splines is advocated for volatility modeling within the calibration of stochastic local volatility (SLV) models and for the parameterization of an arbitrage-free implied volatility surface calibrated to sparse option data.
Firms concerned about modelling future portfolio changes
Double award for Sungard with further enhancements to Prophet
Aon brings philosophy of openness to catastrophe models
Clean data and consistency put UBS Delta in lead
Clients say breadth of coverage a winning formula
Fed stress tests are a "perfect storm of pressure"
Factor models can be helpful in identifying unseen risks in investor portfolios
Scrapping op risk modelling in Europe could take five years, say lawyers
The manner in which wind generation can affect the half-hourly APX price is discussed
Firms doubtful about risk sensitivity of standardised replacement charge
AMA's likely demise is latest sign of worrying trend in bank capital rules
Focus on historical data is out of step with speed of change, says head of L&G Capital
This paper compares two methods of estimating LGD: a beta regression model and a multinomial logit (MNL) model.