Model risk
Hypothetical yield curve scenarios for credit stress testing
In this paper, we discuss a set of hypothetical yield curve shift scenarios generated by applying extreme value distributions and a shaping procedure. These statistically derived hypothetical stress scenarios could be susceptible to model risk, leading…
Fix to Fed stress test snafu lowers two banks’ capital charges
Goldman, Morgan Stanley see stress capital buffer cuts
A k-means++-improved radial basis function neural network model for corporate financial crisis early warning: an empirical model validation for Chinese listed companies
This paper aims to simplify the early warning model for financial crises by collecting and analyzing the financial data of Chinese special treatment (ST) companies, normally listed companies and cancel special treatment (CST) companies.
Big buy-side firms seek better model risk disclosures
Working group building standardised disclosure doc for managers and vendors
Top banks defer €1.6bn of profits on hard-to-value trades in H1
BNP Paribas set aside €532 million alone in H1
Benchmarking operational risk stress testing models
This paper outlines several approaches to benchmarking operational loss projections under stressed scenarios using both accounting metrics and historical loss experience.
Why investors are stuck with flawed VAR models
Buy-side risk survey: VAR wasn’t much use in March, but it is ingrained in the industry
Valuation risks fell at UBS in Q2
Swiss lender is sitting on $8.1 billion of Level 3 assets
Mark-to-model assets spiked at eurozone banks in Q1
Level 3 derivatives assets increased 52% quarter-on-quarter
An emergent taxonomy for operational risk: capturing the wisdom of crowds
In this paper, the author takes a data-driven approach and combines the individual active taxonomies of sixty large financial institutions (fifty-eight for construction and two for validation) to create a coherent new reference taxonomy: the ORX…
A positive response to negative oil prices
Overhauling pricing models could reap rewards even if prices don’t cross zero again
Rewards for failure: the ECB’s topsy-turvy market risk relief
Eurozone banks with better models are least able to offset Covid-driven rise in backtesting multiplier
Bachelier – a strange new world for oil options
Model tuned to negative prices has implications for pricing, margining and delta hedging
Covid-19 – Developing resiliency to ensure business continuity
Covid-19 has forced firms worldwide to question how they plan for, build and maintain resiliency to ensure business continuity. With operational and cyber risk departments now firmly concentrating on pandemic action plans and emerging risks, this webinar…
Machine learning in fraud analytics to combat financial crime – Getting it right
Risk and compliance professionals gathered for a Risk.net webinar in association with NICE Actimize to consider the challenges and opportunities of successfully harnessing artificial intelligence in the fight against financial criminals
Machine learning in fraud analytics – Getting it right
Over the past couple of years, financial institutions have made significant achievements in the fight against fraud by embracing machine learning analytics and advanced artificial intelligence
As Covid snaps credit models, lenders turn to stress-testing
Banks enlist scenario analysis to bolster creaking default models
Splits emerge over EBA’s stress test 2.0
Experts question utility of separate bank leg that won’t feed into capital requirements
TD Bank’s US unit incurred eight VAR breaches in 2019
Number of backtesting exceptions pushed the bank’s VAR capital multiplier to 3.75
Singapore banks tighten ML governance amid regulatory scrutiny
DBS, StanChart and Deutsche build model inventories and draw up standards around use cases
HSBC to reallocate $100bn of RWAs in shake-up
Global banking and markets division to take brunt of cuts
Model review adds €13bn to ING’s RWAs
Trim effects projected to raise CET1 requirement by at least €600m
Some EU banks can’t explain lowball credit model outputs
Negative unjustified deviations in capital requirements most widespread for corporate portfolios
Defying headwinds, Santander posts record capital gains
CET1 ratio hits 11.65% at end-2019