Latest
US banks race against time as Fed plays climate catch-up
Long-awaited US climate risk exercise puts tough pressure on banks’ data and models
Nasdaq exec criticises VAR models in erratic energy markets
FIA Boca 2023: Model being adopted by rivals is “bad choice” for unpredictable assets, says exchange tech official
EU banks need ‘billions’ in hedges to pass new NII test
Declines in net interest income can be hedged, but the markets may struggle to handle the demand
Ice exec rejects cloud for critical infrastructure
FIA Boca 2023: SVP Bland “can’t imagine” outsourcing critical infrastructure; DRW’s Wilson warns of concentration risk
Missing Basel metric could have revealed SVB risks
US regulators did not implement economic value of equity test that SVB failed in 2021
Ion in the fire: three banks call in lawyers after hack
Banks are examining service-level agreements for possible breaches
IRRBB
Why risk managers don’t trust the EU’s new IRRBB test
And why there may never be a perfect way of assessing the risks of changes in net interest income
ECB promises ‘proportionate’ approach to interest rate risk
But banks still fear regulatory and investor response if many are classed as outliers
All outliers now: Europe’s unflattering IRRBB test
Banks, fearing overreaction from supervisors, urge European Commission to reject NII-based assessment
More EU banks will fail new IRRBB test as rates push upwards
Half of all EU banks could cross outlier threshold for new test of net interest income
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UBS takeover of Credit Suisse to trigger higher G-Sib surcharge
At 14.2%, UBS’s CET1 capital ratio is more than sufficient to absorb the deal
Artificial intelligence
OK regulator? How AI became respectable for AML controls
Dutch court case pressures supervisors to accept new tech; explainability the key challenge
The haves and the ‘have bots’: can AI give vol forecasters an edge?
Firms look to machine learning and natural language processing to gain advantage over peers
Bot’s job? Quants question AI’s model validation powers
But supervisors cautiously welcome next-gen model risk management
How to hone NLP’s detection skills: a cue from a super-sleuth
With a sharper focus, AI readers could help detect hidden exposures for investors
US credit risk modellers prepare for life after IRB
Stress tests and economic capital calculations may not carry the same weight as Basel ratio
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Incorporating climate risk into ALM frameworks for banks
The impact of rising interest rates on risk models and balance sheet management
Transforming risk controls for next-level decision-making
Repo clearing: trends, developments and outlook
Credit risk: best practices for predicting future risks
