The disputed terrain of model risk scoring

There is no concord on how banks should police their model risk. But two Fed economists have an idea

As banks lean ever more heavily on models – for pricing, risk, capital and other vitals – their boards are demanding a clear view of exactly how much risk those models entail, and how they may be abetting or denting the bank’s financial position. But there is no clear path on how to deliver that.

“We all have different techniques,” says the head of model risk management at a US G-Sib. “Everybody is not using the same approach, but everyone has an approach.”

Into this wilderness have stepped

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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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