Model risk
The state of IMA: great expectations meet reality
Latest trading book rules overhaul internal models approach, but most banks are opting out. Two risk experts explore why
The relative entropy of expectation and price
The replacement of risk-neutral pricing with entropic risk optimisation
XVA desks prioritise core tech upgrades over AI
Vendor upgrades, cloud-native rebuilds and sensitivities tooling dominate 2026 budget road maps
NMRF framework: does it satisfy the ‘use test’?
Non-modellable risk factors affect risk sensitivity and face practical and calibration difficulties, argue two risk experts
Almost two-thirds of banks now run XVAs on cloud
Risk Benchmarking study finds a majority of big dealers tapping cloud capacity, some exclusively, with others migrating
Lloyds draws a (second) line on AI risk
Model risk office is accountable for managing the risk of AI roll-out at the UK bank
How FCA could help tackle third-party risk in AI
UK regulator’s supercharged sandbox is designed to boost explainability and reduce reliance on vendors
When AI models malfunction, address the problem not the math
Governance of artificial intelligence models should focus on actionable outcomes rather than interpretability, argues former chief regulator
Multi-factor Gaussian model calibration: swaptions and constant maturity swap options
A novel closed-form method delivers a new way to calibrate interest rate models
Double VAR breach in Q2 adds $4.1bn to JP Morgan’s market RWAs
Sixth regulatory backtesting exception in nine months lifts the multiplier above minimum for the first time since Q3 2022
Generative AI brings testing times for modellers
Flagstar’s lead model validator offers some tips for safely integrating LLMs into risk models
The AI bot that left the garage
Senior operational risk exec explains how hidden third-party feature could lead to systemic risk
SEB’s market risk add-on swells 153% in Q2
Temporary adjustment more than doubles as internal model change awaits sign-off
US Fed urged to curb reliance on its own stress-test models
Original architect of DFAST says supervisors should stop putting all their eggs in one basket
Banks seek EU supervisory green light on external credit data
GCD-developed industry standard to show pooled loss data is representative of banks’ portfolios
Brain drain at OCC raises concerns about US model supervision
Quant team cull will reduce capacity to validate bank models, but that could be part of the plan
Model risk quantification for machine learning models in credit risk
This paper analyses bank-specific model risk measurement methods with a focus on implemented model risk rating solutions for MLMs and discusses challenges faced by the validation function.
Why AI-enhanced risk management is vital for open finance
In bank-fintech partnerships, AI can be both a source of operational risk and a solution to it
Citi close to launching GenAI investment tools
New tech will be used to improve investment recommendations and increase cross-selling
Amid tariff turmoil, banks warned not to fudge IFRS 9 overlays
Flip-flopping US policies challenge loan loss provisioning models; EU regulators take watching brief
Trading desks want regulators to face down the NMRF monster
Rule-makers in Australia and the European Union are open to changes to the unpopular FRTB test