Modelling
US model risk rules put lions back in their cages
Impact of Federal Reserve and OCC model risk guidance is being felt well beyond US banks
Energy trading firms race to improve analytics capabilities
Surging availability of data lets firms with best market insight gain an edge
Research uncovers new sources of financial model risk
Past performance of financial models is no guarantee of future success, two forthcoming papers suggest
Priips performance scenario rules under fire
New rules needlessly confusing, say distributors
Stress tests at risk of becoming too complex, say bank heads
Regulator demands could lead to "tick-the-box" exercise, hear delegates at Quant Summit Europe
Top quant Peter Carr leaves Morgan Stanley
Global head of market modelling is no longer with the bank, say industry sources
Network theory takes root in post-crisis financial markets
Developments since 2008 open up exciting possibilities, says Kimmo Soramäki
Discarding the AMA could become a source of op risk
Basel Committee's "tantrum-like reaction" is not supported by evidence, say practitioners
B-spline techniques for volatility modeling
In this paper the use of B-splines is advocated for volatility modeling within the calibration of stochastic local volatility (SLV) models and for the parameterization of an arbitrage-free implied volatility surface calibrated to sparse option data.
AERB: developing AIRB PIT–TTC PD models using external ratings
In this paper, the authors show how one can use a certain class of models for modeling portfolios such as large corporates, banks and insurance companies.
Insurers wary of capital 'uncertainty' in multi-asset funds
Firms concerned about modelling future portfolio changes
Best data management service provider; Best actuarial modelling software: Sungard
Double award for Sungard with further enhancements to Prophet
Best catastrophe modelling software: Aon Benfield
Aon brings philosophy of openness to catastrophe models
Best risk engine: UBS Delta
Clean data and consistency put UBS Delta in lead
Best Solvency II software package; Best economic scenario generator: Moody’s Analytics
Clients say breadth of coverage a winning formula
CCAR leaves modelling teams short of time and staff
Fed stress tests are a "perfect storm of pressure"
Why multi-asset investing calls for 3G factor models
Factor models can be helpful in identifying unseen risks in investor portfolios
EU 'five-year delay' to Basel op risk modelling axe
Scrapping op risk modelling in Europe could take five years, say lawyers
Modelling the financial risks of wind generation with Weibull
The manner in which wind generation can affect the half-hourly APX price is discussed
Adios AMA: Basel proposal to bin op risk models worries banks
Firms doubtful about risk sensitivity of standardised replacement charge
Reining in capital models is bad for risk management
AMA's likely demise is latest sign of worrying trend in bank capital rules
Quant ideas: Strategic versus tactical risk management
The susceptibility of enterprise risk tools to poor quality data is a major issue
Disruptive technology could leave regulators behind – Stanworth
Focus on historical data is out of step with speed of change, says head of L&G Capital
Loss given default modeling: an application to data from a Polish bank
This paper compares two methods of estimating LGD: a beta regression model and a multinomial logit (MNL) model.