Hidden benefits of the Fed’s model validation push

Incidents such as the London Whale losses show an overhaul of model validation should be welcomed, not maligned

Money iceberg

Lourenco Miranda is head of model risk management, Americas, and risk unit lead for capital and resolution management at Societe Generale Corporate & Investment Banking in New York

Model risk management has long been seen by bank higher-ups as an irksome, bureaucratic cost centre, draining profits from trading desks, tolerated only to serve the demands of the regulatory machine. But it shouldn't be: when properly implemented and executed, a sound model validation framework should be seen as a

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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