Model risk
Rewards for failure: the ECB’s topsy-turvy market risk relief
Eurozone banks with better models are least able to offset Covid-driven rise in backtesting multiplier
Bachelier – a strange new world for oil options
Model tuned to negative prices has implications for pricing, margining and delta hedging
Machine learning in fraud analytics to combat financial crime – Getting it right
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
Splits emerge over EBA’s stress test 2.0
Experts question utility of separate bank leg that won’t feed into capital requirements
TD Bank’s US unit incurred eight VAR breaches in 2019
Number of backtesting exceptions pushed the bank’s VAR capital multiplier to 3.75
Singapore banks tighten ML governance amid regulatory scrutiny
DBS, StanChart and Deutsche build model inventories and draw up standards around use cases
HSBC to reallocate $100bn of RWAs in shake-up
Global banking and markets division to take brunt of cuts
Model review adds €13bn to ING’s RWAs
Trim effects projected to raise CET1 requirement by at least €600m
Some EU banks can’t explain lowball credit model outputs
Negative unjustified deviations in capital requirements most widespread for corporate portfolios
Defying headwinds, Santander posts record capital gains
CET1 ratio hits 11.65% at end-2019
Outsourced model validation: is it viable?
Consortium promises cost savings in outsourcing model validation, but some say pooling doesn’t float
How AI can automate model validation testing and continuous monitoring
As the business environment becomes more complex – and as regulatory scrutiny increases – it has never been more crucial for financial institutions to ensure their models are robust and fit for purpose.
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
The Fundamentals of market risk rules
With the 2022 Fundamental Review of the Trading Book (FRTB) deadline looming, banks are fast coming to grips with the amount of work still to be done to achieve a successful implementation
Industry-led op risk taxonomy launches
Scheme aims to complement Basel classifications, ease peer comparison
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
Goldman, BBVA and TD Group incur VAR breaches in Q3
US unit of TD Group endures four breaches in three months to end-September
EBA’s Campa: reduce Pillar 2 charges to offset output floor
Bankers plead for smaller capital hit and more predictability on implementation of Basel III
Trim review pumps up Commerzbank’s credit RWAs
Additional RWA increases also expected in coming quarters
Morgan Stanley, Wells not sold on AI for credit scoring
Risk USA: Lenders warn on AI model risks and use of non-traditional data
Model scrutiny depletes Santander’s capital ratio
Targeted review of internal models takes 28bp off CET1 ratio year-to-date