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Latest on Risk management
CCP risk panels aren’t listening, banks say
Simmering resentment surfaces as two banks insist committees be more responsive to clearing members
Op risk capital: looking back in anger
Top 10 op risks survey shows industry has sights set on the horizon, even when regulators are looking backwards
Top 10 operational risks for 2019
The biggest op risks for 2019, as chosen by industry practitioners
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
Mathematicians have neglected game theory; John Nash got a Nobel Prize, but he got it in economics, before being recognised by mathematicians. Game theory has basically been handed over to economists, who teach it – very few maths departments do.
René Carmona, Princeton University
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
Top 10 op risks 2019: mis-selling
Concern over sales practices remains amid economic and political uncertainties
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
Nasdaq auction failure ignites anti-clearing backlash
Last orders at the VAR