Estimated impact of interest rate shocks up to 17.7pp higher under adjusted assumptions
A swaption pricing model based on a single-factor Cheyette model is shown to fit accurately
A framework for rates that links real-world and risk-neutral measures is presented
IRRBB simulations show lending revenue shrinking as Fed policy gets tighter
Banks report largest hits in IRRBB tests, but remain clear of fail threshold
Ally, Customers, First Foundation, Morgan Stanley and PacWest were pressured by rising rates
Lending income failed to keep pace with higher deposit costs as Fed reshaped rates environment
IRRBB modellers trying to predict client behaviour have little relevant data to fall back on
Trading risk gauge surged 17% through Q4
Potential-loss indicator for rates trading peaked at €20 million
A discretisation approach for both backward- and forward-looking interest rate derivatives is proposed
The author considers a classical term structure model framework, ie, a Heath–Jarrow–Morton framework, on a time-discrete tenor, such as the London Interbank Offered Rate market model, using a sequence of tenor discretizations, where the tenors are valid…
This work looks at a wide range of models to test the degree to which CECL is procyclical for different types of model.
The aim of this paper is to move away from a Gaussian assumption and to provide new algorithms that can be used to implement a Markov-functional model driven by a more general class of one-dimensional diffusion processes.
‘Big Four’ cut IRRBB RWAs by A$23 billion year-on-year
This paper examines the credit exposure evaluation properties of interest rate derivatives to manage counterparty credit risk, working with the real-world probability.
Risk Awards 2019: A glimpse of the future? Quant uses ML to model term structure and crunch margin costs
Solvency II ratio sensitivity to -50bps interest rate shock falls from -11% to -7%
Numerix quant revolutionises negative rates modelling
Alexey Botvinnik and Vladimir Ostrovski propose a validation method for interest rate models
A joint-measure model combining Q-measure and P-measure
Volume 16, Issue 5 (2014)