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Show your workings: lenders push to demystify AI models
Machine learning could help with loan decisions – but only if banks can explain how it works. And that’s not easy
Building forward-looking scenarios: why you’re doing it wrong
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
Risky caplet pricing with backward-looking rates
The Hull-White model for short rates is extended to include compounded rates and credit risk
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Term SOFR gets cautious blessing for derivatives
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Big Figure
Capital gains
Capital One’s Tier 1 leverage ratio increased by 70 basis points in the second quarter as the bank’s capital growth outpaced rises in exposures. Tier 1 capital rose 6.3% to $50.9 billion over the second quarter, faster than the 0.6% expansion in adjusted average assets, the leverage ratio’s denominator, which hit $411 billion. This boosted leverage adequacy to 12.4%, up from 11.7% the previous quarter.
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Risk Management
Building forward-looking scenarios: why you’re doing it wrong
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
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Building forward-looking scenarios: why you’re doing it wrong
‘It’s the economy’: forecasting an op risk climate change spike
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Our Take
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Confusion reigns as US prepares for Libor’s end