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Latest on Risk management
Banks hope final FRTB rules will ease NMRF burden
Internal models approach buoyed by more liberal rules on price observations and risk factor aggregation
VAR model under scrutiny as RBS’ breaches spike
Excessive backtesting exceptions lead to increase in capital multiplier
Regulators to scrutinise CCP default auctions
CPMI-Iosco preps discussion paper as banks warn further guidance needed after Nasdaq default
Latest
Quotes
With ML models, it’s a case of almost constant monitoring, because the model you’re actually validating could change tomorrow, depending on the data that is being input
Peter Nowlan, RBS
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
The SABR model was pretty much developed in a week in response to a trading problem
Patrick Hagan, then of Banque Paribas, on his SABR model's baptism of fire
Editor's Choice
Apac bank boards: light on risk experience
Survey of 24 large Apac bank board risk committees shows dearth of risk managers
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
Aussie banks: a right Royal mess
We need to talk about Collins