US regulator is responsible for signing off models used for regulatory capital purposes
Trust is good, control is better – Complex model validation
With Solvency II fast approaching, obtaining approval for your internal model is increasingly important. A key part of this process will be to demonstrate the ability of the model’s scenario generation to describe the evolution of interest rates plausibly....
Banks must review their advanced measurement approach models if they are to experience a smooth transition under the new Basel II regime. By Thomas Kaiser, of consultants KPMG
Brett Humphreys and Andy Dunn outline a method to help energy companies minimise potential model risk and thereby avoid costly errors in valuing deals.
Brett Humphreys and Andy Dunn outline a method to help energy companies minimise potential model risk and thereby avoid costly errors in valuing deals
The Operational Risk Implementation Advisory Group (ORIAG), which is chaired by the UK's Financial Services Authority (FSA), has posted its working paper, "Implementation of the Capital Accord for Operational Risk" on its website.
With the new Basel Capital Accord scheduled for implementation in 2005, banks are having to evaluate the credit scoring models that will enable them to meet the minimum standards for Basel’s internal ratings-based (IRB) approach. Selecting an appropriate...