Citi’s CRO on the importance of risk sensitivity

Brad Hu talks modelling, CECL and setting risk culture


Six months after the release of new banking rules by global standard-setters, the industry is still digesting their effect. The world’s biggest banks had invested considerable time and money developing complex models to calculate risk capital. But the Basel Committee on Banking Supervision ripped up several of those model-based approaches in December, in some cases replacing them with simpler, standardised rules.

Many in the industry protest that the new Basel III standards impose overly

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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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