Model calibration
Hybrid smiles made fast
Hybrid smiles made fast
Cutting Edge introduction: requiem for a probabilist
Requiem for a probabilist
Being particular about calibration
Following previous work on the calibration of multi-factor local stochastic volatility models to market smiles, Julien Guyon and Pierre Henry-Labordère show how to calibrate exactly any such model. Their approach, based on McKean’s particle method,…
Quant Congress Europe: Peter Carr introduces ‘meta-modelling’
Morgan Stanley quant tells Risk's annual European quantitative finance event that modelling assumptions should be considered in light of calibration needs - even if this leads to discrepancies
Filling the gaps
Filling the gaps
Random grids
Random grids
Swiss Re hits out at ‘counterproductive’ regulatory calibrations
Swiss Re argues current regulatory calibration proposals will slash policyholder returns
Three challenges to Solvency II implementation – Bernardino video interview
Three challenges to Solvency II implementation
More discord over Basel III countercyclical buffers
Basel Committee’s Peter Praet acknowledges disagreement; Charles Goodhart warns lack of consensus will stop central banks acting to stem financial imbalances
Smooth calibration of Markov functional models for pricing exotic interest rate derivatives
The Libor market model is widely used but often criticised for its slowness. Nick Denson and Mark Joshi develop an accurate and stable calibration procedure that allows for the effective use of a control variate
Basel II Forum USA: Speakers stress feedback can still shape regulation
With the commentary period for the Basel Committee on Banking Supervision's final consultative paper (CP3) officially ending tomorrow, two speakers at Risk's Basel II Forum USA urged banks to be vocal about concerns related to the implementation of Basel…
UBS: QIS3 results in increased capital, is not "fair"
UBS, the Switzerland-based financial institution, says its overall capital will increase under the Basel Accord revisions, as currently outlined in the third quantitative impact study (QIS3). In addition, other institutions have had the same results, the…
Capturing the smile
Since the discovery that traditional calibration methods fail to capture the dynamics of the smile, new approaches based on mixtures or ensembles of models have been developed. Simon Johnson and Han Lee present a variant of this approach that can be used…
Commission highlights weak points of op risk insurance
BRUSSELS - The European Commission highlighted in November major drawbacks to the use of operational risk insurance to reduce op risk capital charges, despite its readiness to explore a wider use of insurance than that proposed in the Basel II bank…
The Basle II capital accord: op risk proposals in brief
This summary has been updated to include the revisions to the Basle II op risk proposals contained in the Working Paper on the Regulatory Treatment of Operational Risk issued in September, 2001 and available on the Bank for International Settlements’…
IT and staff quality seen as key as India adopts Basel II
CALCUTTA, INDIA - The need to improve staff quality and use information technology (IT) effectively are among key targets for the Indian banking system as it prepares to meet intern ational standards of risk-based regulation, India’s central bank chief…
The Basel II capital accord: op risk proposals in brief
This summary has been updated to include the revisions to the Basel II op risk proposals contained in the Working Paper on the Regulatory Treatment of Operational Risk issued in September, 2001 and available on the Bank for International Settlements'…
Basel regulators cut op risk charge benchmark to 12%
BASEL - Global banking regulators formally acknowledged in late September some of the criticisms of their controversial proposal for an op risk capital charge. Their plan is to make large international banks set aside protective capital from 2005…
Why Basel must brush-up on credit
Paul Kupiec of the International Monetary Fund argues that unresolved calibration problems remain with the new Basel Accord’s credit risk capital requirements – problems that may lead banks to make damaging risk decisions.
Basel II will be modified, says Canadian bank regulator
A survey of financial institutions’ views on the Basel II capital accord is expected to result in global banking regulators modifying some of the accord’s controversial aspects, according to a Canadian bank regulator involved in the survey.
Regulatory capital volatility
Basel II