Modelling
US FRTB glitch could spit out negative capital charges
Effort to recognise risk diversification between IMA and standardised approach went too far
Second line seeks to stamp its authority on AI risk
Risk Benchmarking study finds fragmented accountability for AI risk among banks, and most are short of controls to contain it
Vinicius fortune: quantifying luck in the World Cup draw
Julien Guyon explains how bias, variance and luck affect teams in this summer’s tournament – and explores wider relevance for portfolio managers
The race to model private market risks
BlackRock maps holdings to risk factors; competitors aim to get the best from statistical methods
Europe’s next chore: cleaning a floor made messy by the US
Rejection of Basel III’s output floor leaves EU with some difficult decisions to make
Markets perceive the future in very distorted ways
Discounting paradigms should adapt to be more realistic, says Jean-Philippe Bouchaud
Prediction markets can be a canary in the coal mine
Prices of contracts on the likes of Polymarket can act as signals for risk management and hedging, says risk expert
How AI agents can join the dots for risk managers
Citi risk expert outlines agentic AI tool that would pull together structured and unstructured data on trading and lending approvals to create single, unified view of risk
Do banks still need to validate GenAI models?
Regulators carved out GenAI models from new risk guidance. Banks shouldn’t see this as a reason to stop validating them.
Capturing smile dynamics with the quintic volatility model: SPX, SSR and VIX
A new model captures the term structure of SPX & VIX implied volatilities, ATM skew, and the skew-stickiness ratio
AI risk management and the shift to capability control
By reframing validation, banks can align innovation with regulatory demands and maintain robust risk discipline, argues risk manager
In the age of GenAI, why do we still need good models?
Jean-Philippe Bouchaud says models can guide artificial intelligence through regime shifts and away from overfitting
The do-it-all machine: model risk in the age of generative AI
Banks race to understand risks posed by new breed of multi-purpose bots
Top 10 op risks: AI upends risk taxonomies
AI risk enters annual poll in fifth, but firms split over treating it as a standalone risk or a cross-cutting driver
The MIT professor giving LLMs a ‘brain scan’
Hui Chen’s research is yielding new ways to interpret – and steer – AI models
Top 10 op risks 2026: Cyber stays top, AI risk enters at fifth
Third-party and outsourcing risk climbs to third; fraud and fincrime edge out geopolitical risk
Limited RWA gains support rethink on Fed output floor
Advanced approaches cut RWAs only marginally across US banks
A Hormuz tipping point may be days away
Agent-based model suggests delays and shortages likely to accelerate after four weeks
FRTB internal models: quo vadis?
Two risk experts explore how to adjust the FRTB framework to promote internal model usage
Methodology change drives Eurex liquidity obligation to record
Limiting offsets to private-sector securities pushes estimated hypothetical obligation up 79%
A smooth fit for complex volatility surfaces
Quant shows a new way to capture implied vol with optimisers