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.
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