The final quarter of 2018 saw a record number of VAR breaches at the biggest US banks
Oxford-Man Institute director on why tomorrow’s models will gracefully admit defeat
ML model outputs open to “potential bias sitting in your datasets”, says RBS model risk head
Quant grads should be taught follies of LTCM, Gaussian copula and London Whale, writes UBS’s Gordon Lee
Two of 17 firms facing follow-up inspections will be hit by capital add-ons
Over two-thirds of fair value assets priced using banks' models
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
Bank appoints Credit Suisse veteran to key role
BNP Paribas capital multiplier increases on seventh breach in nine months
There is no concord on how banks should police their model risk. But two Fed economists have an idea
Speech raises explainability issue; says existing model risk guidelines are “a good place to start” in regulating AI
Varied supervisory and external audit demands stretch cross-border risk management
A forum of industry leaders discusses how banks will define individual trading desks under FRTB, whether BCBS 239 compliance projects can help banks meet FRTB risk data challenges, which model validation obstacles banks still face and other key topics
As models of all stripes crowd into finance, the people who screen them form an association
Procyclicality of capital and portfolio segmentation in the advanced internal ratings-based framework: an application to mortgage portfolios
This paper investigates the procyclicality of capital in the advanced internal ratings based (A-IRB) Basel approach for retail portfolios, and identifies the fundamental assumptions required for stable A-IRB risk weights over the economic cycle.
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