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
Global banking and markets division to take brunt of cuts
Trim effects projected to raise CET1 requirement by at least €600m
Negative unjustified deviations in capital requirements most widespread for corporate portfolios
CET1 ratio hits 11.65% at end-2019
Consortium promises cost savings in outsourcing model validation, but some say pooling doesn’t float
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.