Model risk
Breaking out of the cells: banks’ long goodbye to spreadsheets
Dealers are cutting back on Excel amid tighter regulation and risk concerns
The bank quant who wants to stop GenAI hallucinating
Wells Fargo model risk chief thinks he has found a way to validate large language models
Iosco gears up for ‘intensive work’ on AI regulation
Watchdogs risk ‘falling behind the curve’, secretary-general warns; FSB also working on guidance
European regulators turn up the heat on IFRS 9 model overlays
After warnings from EBA and BoE, risk managers urge ‘soul-searching’ on post-model adjustments
Rabobank cuts back on ECL overlays
Improved backtesting performance reduces add-ons to allowances to lowest in five years
Europe’s new AI Act threatens supervisory ‘chaos’ for banks
Policy-maker says new role for European Commission could collide with ECB model risk regulation
Growing regulatory focus fuels climate risk staffing fight
Widespread poaching as banks find repurposing existing quants may not provide the right expertise
Shapley values as an interpretability technique in credit scoring
The authors analyze the usefulness of the Shapley value as a machine learning interpretability technique in credit scoring.
Will generative AI crack the code for bank tech teams?
Banks could roll out tools to help translate old – or write new – code within months
Can CRE credit risk models cope with hybrid working?
As US office use changes, modellers deploy judgement overlays and alternative data to keep up
Climate risk overlays unnerve model-validation teams
Risk Live: Model risk managers fear they lack the data or skills to properly test expert judgement
Party’s over as more banks drop internal models for market risk
At least three systemic banks in Europe intend to ditch IMA for capital requirements
Generative AI is changing debate on explainability, says Deutsche
Innovation head says observability can aid regulatory acceptance
Filling the gaps in Basel’s interest rate risk measures
Reverse stress-testing or VAR may work better than existing outlier tests, but are hard to manage
FCA warns on third-party risk management for AI projects
UK regulator keeping close eye on use of cloud and vendor partnerships to develop new models
A new automated model validation tool for financial institutions
The authors put forward a novel automated validation tool, based on US Federal Reserve and Office of the Comptroller of the Currency regulatory guidance, which is used to to validate predictive models for financial organizations.
Op risk data: UBS lands $380m Archegos loss
Also: BofA billed for bilking customers; red faces over Deutsche greenwashing. Data by ORX News
BoE model risk rule may drive real-time monitoring of AI
New rule requires banks to rerun performance tests on models that recalibrate dynamically
Banks’ internal watchdogs bark back at ChatGPT
Generative AI has plenty of uses in finance, but banks must first overcome compliance headaches
Banks begin tackling climate stress tests of trading books
Market risk professionals see major shortcomings in available scenarios
Partial relief for synthetic securitisation in final EU rules
Internal model banks will see punitive multiplier reduced, but standardised banks miss out