This paper studies the impact of model risk on EVT methods when determining the value-at-risk and expected shortfall.
US model risk guidance has drawbacks, but is a step towards better management of model risk
Impact of Federal Reserve and OCC model risk guidance is being felt well beyond US banks
As energy traders make greater use of big data, lessons of the past should not be forgotten
US model risk management guidelines being increasingly used by banks and regulators elsewhere
Past performance of financial models is no guarantee of future success, two forthcoming papers suggest
Greater use of models means risk "has significantly increased", says HSBC's Bhaskar
Models “play an important role in quantifying risk”, says OCC's Beth Dugan
Supervisors in mainland Europe are 'all over the map' on model validation, says Morgan Stanley's Jon Hill
Method for calculating capital based on sparse data can lead to additional model risk
This paper demonstrates how cash outflows due to credit lines can be modeled in a liquidity stress test.
Stress testing and model validation: application of the Bayesian approach to a credit risk portfolio
The authors of this paper develop a Bayesian-based credit risk stress-testing methodology.
This paper analyzes and quantifies the idea of model risk in the environment of internal model building.
Quant ideas paper dissects layers of valuation models for physical assets
Market shocks are earthquakes, not a game of roulette
Avoiding model failure will be a key issue in 2015
"They all fall short," says one expert, as banks try to vet vendor models
Banks struggling to prise information out of vendors after Fed clamps down
Derivatives pricing and expected exposure models must be backtested as a basic regulatory requirement. But what does this mean exactly, and how can it be used to reserve against model risk? Lee Jackson introduces a general backtesting framework for…
Filippo Della Casa and Michele Gaffo propose a new framework to run portfolio optimisation for life insurance business, by exporting the replicating portfolio technique from risk management to investment management. In particular, they develop a new risk…
Stress testing is a vital part of successful risk management, but risk managers at energy trading firms frequently face obstacles in designing and implementing successful stress testing programmes. In this article, Carlos Blanco provides some advice on…