FSA criticises overreliance on quantitative models
The UK Financial Services Authority (FSA) last month criticised banks for excessive use of quantitative models for risk management purposes. In the Turner Review, a detailed analysis of the causes of the financial crisis and necessary reforms published on March 18, attention was drawn to the use of short observation periods when calculating value-at-risk, an underestimation of the occurrence of high impact events and a tendency to assume past distribution patterns are sufficient to predict the
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk management
Repo clearing rule could raise SOFR volatility – OFR analysts
Analysis of 2022 data finds large divergence in tail rates but no change in median
OCC’s security chief on generative AI with guardrails
Clearing house looks to scale technology across risk and data operations – but safety is still the watchword
The Term €STR transition: challenges and market readiness
The progress, challenges and factors shaping the adoption of Term €STR as financial institutions transition from Euribor
Mitigating risks with derivative ETFs
S&P Global Market Intelligence's Enrico Piccin discusses the evolution of synthetic ETFs, regulatory impacts, and balancing leverage and transparency
EU firms fear dollar liquidity becoming tariff bargaining chip
Eurozone banks rely on dollars for 17% of funding; trade war escalation could affect access
Op risk data: Luna crypto chicanery shrinks Galaxy coffers
Also: Down under and dirty – motor finance scandal comes to Oz, and 2024 in review. Data by ORX News
Amid tariff turmoil, banks warned not to fudge IFRS 9 overlays
Flip-flopping US policies challenge loan loss provisioning models; EU regulators take watching brief
Why AI will never predict financial markets
Laws that govern swings in asset prices are beyond statistical grasp of machine learning technology, argues academic Daniel Bloch
