But supervisors cautiously welcome next-gen model risk management
Official anticipates effort to identify climate impact on internal models, concentration risk
IRRBB modellers trying to predict client behaviour have little relevant data to fall back on
The authors investigate the influence of model risk on pricing life products and demonstrate that classical Lee-Carter-type models can be less accurate than the proposed model.
Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
This paper discusses the building of obligor-level rather than segment-level hazard rate corporate probability of default models for stress testing.
Bank hires from BNPP for US CRO and BofA for head of model risk management
Anticipated slowdown will be first major test for new generation of expected credit loss models
This paper proposes a minimum relative entropy technique for challenging derivatives pricing models that can also assess the model risk of a target portfolio.
Some MEPs want to ease rules further than EC draft; others want return to undiluted Basel text
Many models failed in pandemic, but analysing them in clusters easier than whole-bank view
Can we take the “stress” out of stress testing? Applications of generalized structural equation modeling to consumer finance
This paper provides a practical introduction to the GSEM statistical framework in risk management, and it illustrates the game-changing potential of this methodology with two empirical applications.
The paper presents an analysis of correlation effects of economic factors on the operational risk losses of a medium-large UK retail bank, and it recommends that causal factors that effect operational risk should be identified.
JPM, Morgan Stanley, BofA, Citi, Goldman and State Street wrong-footed in volatile end to 2021
Market risk is at the highest level since Q4 2020
Tiziano Bellini, head of risk integration competence line, international markets at Prometeia, examines the key components of successful model risk management, focusing on the importance of integration, processes, governance and IT solutions to…
Risk USA: managers cite Covid, repo crisis and geopolitical risks as examples of model failures
Risk USA: banks “on the precipice” of adopting more complex models, says Goldman exec
Risk USA: dealers face trade-off between accuracy of pricing models and level of capital charges
As organisations increasingly rely on models that cover a wide range of business functions, there is an increasing need to create and maintain a comprehensive model inventory for enhanced collaboration and regulatory compliance across multiple regions…
The highest losses-to-VAR ratio was 145.75%, in the first backtesting exception reported by the bank since 2018
Deborah Hrvatin discusses integrated risk management, mega-hacks and model risk
Machine learning could help with loan decisions – but only if banks can explain how it works. And that’s not easy
Banks need information from clients or third parties to populate 1,760 stress test variables
Darwin’s theory of natural selection could help quants detect flawed models and strategies