This paper aims to fill a gap in the literature by providing statistical properties of the population stability index (PSI) and some recommendations on its use.
Leaked plan to exclude buffers from floor would please EU banks, could anger Basel and US
Senior official says banks should now be deciding desk structure and readying backtests
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
Mark-to-model instruments disclosed by banks over $100 billion in size contracted 4%
In this paper, we discuss a set of hypothetical yield curve shift scenarios generated by applying extreme value distributions and a shaping procedure. These statistically derived hypothetical stress scenarios could be susceptible to model risk, leading…
Goldman, Morgan Stanley see stress capital buffer cuts
A k-means++-improved radial basis function neural network model for corporate financial crisis early warning: an empirical model validation for Chinese listed companies
This paper aims to simplify the early warning model for financial crises by collecting and analyzing the financial data of Chinese special treatment (ST) companies, normally listed companies and cancel special treatment (CST) companies.
Working group building standardised disclosure doc for managers and vendors
BNP Paribas set aside €532 million alone in H1
This paper outlines several approaches to benchmarking operational loss projections under stressed scenarios using both accounting metrics and historical loss experience.
Buy-side risk survey: VAR wasn’t much use in March, but it is ingrained in the industry
Swiss lender is sitting on $8.1 billion of Level 3 assets
Level 3 derivatives assets increased 52% quarter-on-quarter
In this paper, the author takes a data-driven approach and combines the individual active taxonomies of sixty large financial institutions (fifty-eight for construction and two for validation) to create a coherent new reference taxonomy: the ORX…
Overhauling pricing models could reap rewards even if prices don’t cross zero again
Eurozone banks with better models are least able to offset Covid-driven rise in backtesting multiplier
Model tuned to negative prices has implications for pricing, margining and delta hedging
Risk and compliance professionals gathered for a Risk.net webinar in association with NICE Actimize to consider the challenges and opportunities of successfully harnessing artificial intelligence in the fight against financial criminals
Experts question utility of separate bank leg that won’t feed into capital requirements
Number of backtesting exceptions pushed the bank’s VAR capital multiplier to 3.75
DBS, StanChart and Deutsche build model inventories and draw up standards around use cases