Model risk
Basel stops short on wrong-way risk
New guidelines a step in right direction, but experts warn they won’t prevent another Archegos
An AI-first approach to model risk management
Firms must define their AI risk appetite before trying to manage or model it, says Christophe Rougeaux
Cyber risk can be modelled like credit risk, says Richmond Fed
US supervisors may begin to use historical datasets to assess risk at banks and system-wide
Reimagining model risk management: new tools and approaches for a new era
The use of automation can combat the growing complexity of managing model risk due to regulation and market volatility
Banks must loosen up on ChatGPT use – risk chiefs
Risk Live: ’Shadow use’ and inability to attract new hires mean restricting access to GPTs is untenable
Risk Technology Awards 2024: AI hopes and holdups
Live AI use-cases are limited, as vendors warn on over-regulation
The impact of deterioration in rating-model discriminatory power on expected losses
The authors propose a means to estimate the effects on a portfolio’s expected credit loss created by underwriting model risks.
Stage fright: lenders still struggling with IFRS 9 transitions
Divergence in how banks move loans between stages of impairment prompts regulators to push for more homogenous approach
Model risk mitigation for pricing services: from the model owner’s lens
Financial markets rely heavily on quantitative models for decision-making, making effective model risk management crucial. Attika Raj, senior specialist, complex securities pricing at LSEG Data & Analytics, emphasises the importance of the first line of…
Breaking out of the cells: banks’ long goodbye to spreadsheets
Dealers are cutting back on Excel amid tighter regulation and risk concerns
How Ally found the key to GenAI at the bottom of a teacup
Risk-and-tech chemistry – plus Microsoft’s flexibility – has seen US lender leap from experiments to execution
Industry warns CFTC against rushing to regulate AI for trading
Vote on workplan pulled amid calls to avoid duplicating rules from other regulatory agencies
Harsh judgements: why Stateside lenders are upping the Q-factor
As CRE stalls, qualitative adjustments are forming a larger part of US banks’ credit risk allowances
The bank quant who wants to stop GenAI hallucinating
Wells Fargo model risk chief thinks he has found a way to validate large language models
Iosco gears up for ‘intensive work’ on AI regulation
Watchdogs risk ‘falling behind the curve’, secretary-general warns; FSB also working on guidance
European regulators turn up the heat on IFRS 9 model overlays
After warnings from EBA and BoE, risk managers urge ‘soul-searching’ on post-model adjustments
Rabobank cuts back on ECL overlays
Improved backtesting performance reduces add-ons to allowances to lowest in five years
Europe’s new AI Act threatens supervisory ‘chaos’ for banks
Policy-maker says new role for European Commission could collide with ECB model risk regulation
Growing regulatory focus fuels climate risk staffing fight
Widespread poaching as banks find repurposing existing quants may not provide the right expertise