Model risk
CCAR feedback prompts banks to improve governance
Dual reviews of stress testing models and scenarios becoming the norm
A practical maturity assessment method for model risk management in banks
This paper proposes a qualitative method to assess the maturity of model risk management practices within banks.
This tangled web: banks seek to contain systemic model risk
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 warned off machine learning for model risk
Banks acknowledge they “cannot hide behind a complex tool” to assess interconnectedness
Cyber insurers accused of lax underwriting standards
Loss data becoming more granular and diverse, but critics highlight pricing inconsistencies among underwriters
HSBC’s model risk chief departs
Exit follows February reshuffle of UK lender’s global risk analytics unit
Model risk managers grapple with interconnectedness
US regulators ask banks to assess cross-dependencies of models – prompting some to employ network theory
Falling margins force energy firms to expand data use
Verification and model challenges arise as volatility and margins dry up
Model management frameworks: what lies ahead?
Sponsored by KPMG
US Treasury stance on CCAR a return to ‘bad old days’
Overhaul would kill test failed by eight banks in past three years
Don’t let the SMA kill op risk modelling
The SMA is not a good response to the AMA’s failings – but don’t throw the baby out with the bathwater
Model risk falls under the CCAR microscope
Fed using qualitative reviews to test compliance with SR 11-7
Incorporating model risk management as a core discipline
Content provided by IBM and Risk.net
Data woes force dividend swaps out of Simm update
Dealers have different approaches to pricing dividend risk factors
Model risk managers eye benefits of machine learning
Ramp-up in regulatory scrutiny of model validation sees banks turn to black boxes
Regulatory blitz weakening model risk management, say banks
Smaller banks’ modelling practices under growing scrutiny, but ability to comply is stretched
Broaden your reach on model risk, quants told
Three banks say their model inventories are “a work in progress”
Inconsistent FRTB model guidance vexes dealers
Risk models pulled in opposite directions by P&L attribution test and non-modellable risk factors
Banks seek to pry open CCP black boxes
Clarity on model inputs may have averted Brexit chaos, FCMs claim
Hidden benefits of the Fed’s model validation push
Incidents such as the London Whale losses show an overhaul of model validation should be welcomed, not maligned
FRTB’s risk factor framework is more punitive than it seems
Regime’s constraints may mean risk factors drop in and out of modellability far more frequently than dealers think
The role of model risk in extreme value theory for capital adequacy
This paper studies the impact of model risk on EVT methods when determining the value-at-risk and expected shortfall.
The beginning of the end for footloose modelling
US model risk guidance has drawbacks, but is a step towards better management of model risk