This paper seeks to contribute a simple and (almost) model-free way of assessing the economic value of the Bermudan exercise right derived from a “minimal” local volatility enhanced interest rate model.
In this paper, the authors derive an analytical solution for sub-SCR VTs starting with a model risk appetite (MRA) that defines acceptable errors for an insurer’s total SCR.
French bank's IHC reports four backtesting exceptions
On average, IHCs missed the Fed’s estimates of the amount their CET1 ratios would fall in the 2018 test cycle by 213bp, compared with 109bp by US lenders
In this paper, the authors present a new backtest for the unconditional coverage property of expected shortfall.
As watchdogs probe Q1 breaches, CCP executives insist margin models worked as intended
The two banks miss the mark on stressed capital ratio by 290bp and 460bp, respectively
Capital distributions crimped by conservative CCAR estimates
Growing bank usage of artificial intelligence means authorities must hasten adoption themselves
Transition is an opportunity to reduce multi-rate complexities, say Bakkar and Brigo
Models such as those used for IFRS 9, CECL or CCAR are prone to errors, and should be accounted for
Recent guidance on stress-test models could be expanded, says BoE exec
Risk managers want ‘transparency and clarity’ around AI-based models
Trading losses exceeded estimates on a single day at each dealer in the first quarter
Thomas Lee, chief executive and co-founder of Vivo Security – a start-up firm based in Silicon Valley and sponsors at OpRisk North America – talks about how special the banking industry is to Vivo Security and why its approach to model risk management…
This paper assesses the model risk associated with the copula choice for the calculation of the Default Risk Charge (DRC) measure.
Survey should be read as industrywide attempt to relay and share worries anonymously
Demise of AMA leaves industry needing risk-sensitive approach for calculating top-up capital, says consultant
Court rules negligence by former managers and auditor of HQ Bank did not cause 2010 licence withdrawal
This paper expands on the foundation of model risk analytics to address the governance, organizational and human behavior challenges associated with enterprise MRM.
Streamlined process could take just six months, says official
Winners' Circle Q&A: Risk Market Technology Awards 2018 | Murex
In this paper, Paul Embrechts reviews discussions on regulation within banking (Basel III and IV) and insurance (Solvency II and Swiss Solvency Test (SST)) from a historical, personal and academic point of view.