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Latest on Risk management
Final FRTB internal model rules get mixed reviews
Bankers divided on whether changes to two key tests will ease ‘penal’ capital charges
Quant Finance Master’s Guide 2019
Risk.net’s guide to the world’s leading quant master’s programmes, featuring a ranking of the top 15 schools
Eyeing a better funding mix, Goldman gobbles up deposits
Diversified funding aids regulatory liquidity metrics
Latest
Quotes
We are all cognisant that we are probably [at the] top of the credit cycle and there is going to be a turn at some point in time. I think everybody is kind of focused on where the early signs are going to come from
Mohamed Basma, Voya
People barely use cheques any more, let alone recall what cheque-kiting is. The bottom line is: Basel's op risk taxonomy isn’t fit for purpose
Operational risk executive at a global bank
Asking banks to participate in additional compression runs is like ringing them up and saying, ‘Would you like a kick in the face?’ every Friday afternoon
One market observer lends his thoughts on the ongoing LCH compression row
Editor's Choice
Pooled resources offer way to keep credit models afloat
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
Big Figure
A quick Trim?
Twenty-one European lenders were deemed non-compliant with the European Union's internal ratings-based credit modelling standards following the first phase of an industry-wide assessment. The European Central Bank released the interim results of its multi-year targeted review of internal models (Trim) at around 65 banks in June
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Comment
Teach history to avoid mistakes of yesterday’s quants
We need a different approach to supervisory stress-testing
Our Take
Does credit risk need an expected shortfall-style revamp?
Credit risk quants are hitting the tech gap