Modelling
Chinese megabanks set to lose out in switch to SMA
Bank of China, ICBC likely to see lower reductions in operational risk capital due to reliance on interest income
Basel op risk modelling blow shifts focus to Pillar 2
Demise of AMA leaves industry needing risk-sensitive approach for calculating top-up capital, says consultant
Governance and organizational requirements for effective model risk management
This paper expands on the foundation of model risk analytics to address the governance, organizational and human behavior challenges associated with enterprise MRM.
Fed willing to listen on CCAR transparency calls
Central bank will seek industry input on bolstering transparency of stress test regime, says Quarles
Model validators squeezed by stress test deadlines
CCAR cycle frustrates compliance with Fed model risk guidance
US Treasury’s research arm revamps systemic risk models
New approach from OFR relies on separate measures of stress and vulnerability
Machine learning could solve optimal execution problem
Reinforcement learning can be used to optimally execute order flows
Cyber risk a top threat for energy firms
Cyber crime cited among top three external risks; scarce data makes modelling difficult
Fed weighs greater transparency on CCAR models
Disclosing model-implied losses would aid capital planning, bankers say
CCAR feedback prompts banks to improve governance
Dual reviews of stress testing models and scenarios becoming the norm
UC’s Bookstaber urges use of agent-based models
Pension fund’s CRO says buy side should go beyond stress tests and try to model systemic risk
This tangled web: banks seek to contain systemic model risk
Network studies are being used to identify model dependencies and concentrations
Using derivatives to forecast oil scenarios
Generating probability-weighted oil price scenarios from traded derivatives prices can help risk managers in the industry
Banks warned off machine learning for model risk
Banks acknowledge they “cannot hide behind a complex tool” to assess interconnectedness
Local-stochastic volatility: models and non-models
Lorenzo Bergomi exposes a condition important to the use of LSV models in trading
Profile: Quant boss touts benefits of tech team merger
TD Securities says combining teams has allowed rapid rollout of platform for risk and P&L management
Falling margins force energy firms to expand data use
Verification and model challenges arise as volatility and margins dry up
Asian privacy laws obstruct FRTB data pooling efforts
Bank scepticism and regulatory hurdles likely to inhibit cross-border information sharing
Mnuchin makes life harder for quants
Proposed CCAR changes make KVA calculations even more complex
XVA reaches far and wide
Sponsored Q&A: CompatibL, Murex and Numerix
Quants head for the shop floor
Demand for technical skills is growing, but roles have changed – and some schools are not keeping up
Model calibration with neural networks
Andres Hernandez presents a neural network approach to speed up model calibration
Solvency II model approvals: lessons from round one
Board members must help shape model validation process
Don’t let the SMA kill op risk modelling
The SMA is not a good response to the AMA’s failings – but don’t throw the baby out with the bathwater