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.
CCAR cycle frustrates compliance with Fed model risk guidance
Fed policy, liquidity requirements and model herding all raise concerns
Timothy Clark rebuffs US Treasury recommendations; supports more transparency
Machine learning being used to build challenger models for model validation
Dual reviews of stress testing models and scenarios becoming the norm
This paper proposes a qualitative method to assess the maturity of model risk management practices within banks.
Network studies are being used to identify model dependencies and concentrations
Asset price bubbles and the quantification of credit risk capital with sensitivity analysis, empirical implementation and an application to stress testing
This paper presents an analysis of the impact of asset price bubbles on standard credit risk measures.
Banks acknowledge they “cannot hide behind a complex tool” to assess interconnectedness
Loss data becoming more granular and diverse, but critics highlight pricing inconsistencies among underwriters
Exit follows February reshuffle of UK lender’s global risk analytics unit
US regulators ask banks to assess cross-dependencies of models – prompting some to employ network theory
Verification and model challenges arise as volatility and margins dry up
Sponsored by KPMG
Overhaul would kill test failed by eight banks in past three years
The SMA is not a good response to the AMA’s failings – but don’t throw the baby out with the bathwater