Modelling
Innovation of the Year Award: Energy Fundamentals
On-the-spot scenario analysis could change the way companies work
Quants: how they shaped the modern energy market
Application of quantitative analysis to energy was far from smooth
Quant energy models need greater emphasis on fundamentals
North American shale boom and renewables growth underline importance
Rival vendors unveil open cat modelling platforms
New product suites offer increased transparency and customisation
Insurers play down ‘misuse’ threat of open source cat model framework
Not-for-profit modelling framework aims to liberalise the catastrophe risk model industry
Resist the rise of the risk management machines
Overreliance on modern risk management systems, and metrics such as value-at-risk, can blind firms to tectonic structural market shifts. To help alleviate this problem, the use of human judgement and intervention is required, argues Vincent Kaminski
Insurance Risk North America: Insurers warn of over-reliance on 'captivating' models
Robust governance process needed for third-party models
Modelling dependency in operational risk
Dependencies between risk types are a vital part of any risk model – but the choice of how to represent them can be critically important to the result of a capital calculation
Lack of insurer management action plans exposes governance failings
Most European insurers do not hold Solvency II compliant documentation, finds survey
Regulators pine for the simple life
Prudential regulation is too complicated, the Basel Committee has conceded - but that does not mean it will embrace an all-powerful leverage ratio. By Duncan Wood
Insurers grapple with model complexity pressures
Insurers’ risk and investment models are becoming more sophisticated – but will greater complexity limit their usefulness? Blake Evans-Pritchard reports
US insurers overhaul lapse risk assumptions
Switch to predictive models to provide better understanding of risk
Regulators should keep internal models
The Basel Committee on Banking Supervision is looking closely at the use of supervisor-approved internal models by banks, but the alternatives, such as a leverage ratio, are not a realistic option, argues Uwe Gaumert
Liability modelling speeds boosted by computer games technology
As insurers look for ways to improve the speed of their modelling calculations, some are turning to microprocessors originally developed for computer graphics in games consoles to increase calculation times. But while graphical processing units can…
Hedge fund valuation practices under scrutiny
Under pressure from regulators and investors, hedge funds are establishing robust pricing policies for hard-to-value assets.Rubber stamping the manager's pricing model is no longer acceptable
What Libor reform will change – and what it won’t
What Libor reform will change – and what it won’t
Physics versus finance: Science strikes back
Science strikes back
Adjoint Greeks made easy
Adjoint Greeks made easy
Quant Congress Europe: Quants should take share of blame for crisis
Quants should take their share of the blame for the crisis, and should focus on less mathematically complex models, said some panellists – although not everyone at Quant Congress Europe agreed
Is risk modelling keeping up with the energy market?
Lean times in energy and commodity derivatives trading have caused a cutback in the amount of time and resources spent on energy risk modelling – a worrying trend that could leave firms unprepared for future market challenges, argue some experts. Mark…
Insurers explore 'risk geographies' for capital modelling
Risk geographies