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.
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…
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
Scheme aims to complement Basel classifications, ease peer comparison
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…
US unit of TD Group endures four breaches in three months to end-September
Bankers plead for smaller capital hit and more predictability on implementation of Basel III
Additional RWA increases also expected in coming quarters
Risk USA: Lenders warn on AI model risks and use of non-traditional data
Targeted review of internal models takes 28bp off CET1 ratio year-to-date
In this paper, the authors contribute to the measurement of model risk by focusing on the quantification of estimation risk.
Banking regulators remain focused on expanding and developing the range of stress-testing regimes across the globe to maintain stability, monitor emerging risks and avoid another financial crisis. Here, a forum of industry leaders discusses the evolution…
Proposed US law on algo lending targets in-built discrimination, say modelling experts
In this paper, the authors conduct an analysis of model risk in an attempt to understand the main issues that lead to failures and the best way to address such issues.
Measuring 1-in-1,000 year loss events ‘unrealistic’, researchers say
Average of largest trading losses-to-VAR at State Street above 90% over past 12 months
Backtesting exceptions cause TD Group's and State Street's market risk capital charge multipliers to climb
Machine learning can be too efficient; now, vendors are looking for ways to make it more accurate. Clive Davidson looks at the stories behind this year’s Risk Technology Awards
Financial institutions have been maturing their approaches to MRM and – as models become more complex and pervasive, and regulatory expectations continue to increase – leading financial institutions seek faster and further movement. Ashutosh Nawani, head…
Risk Live: watchdog wants to know “how prevalent” ML models are, say execs