Model validation
EU’s model study finds problems with bank VAR methods
Banks surveyed by the ECB had an average of 32 issues with their market risk models
Not random, and not a forest: black-box ML turns white
Bayesian analysis can replace forest with a single, powerful tree, writes UBS’s Giuseppe Nuti
Models need longer datasets to handle economic cycles – research
Decades, not years, of credit losses required for accurate risk modelling, argues expert
Quants propose new method of calculating op risk VAR
So-called ‘incremental value-at-risk’ offers future snapshot of op risk exposure, authors say
Making technology count in a C/ETRM world
As businesses grow, so does their need for modern, agile and cost-effective commodity/energy trading risk management (C/ETRM) solutions. Pioneer Solutions explores how its next-generation, highly configurable C/ETRM systems take advantage of the latest…
Dealers seek clarity on buy-side IM relief
Hundreds of buy-side firms may still need to calculate margin and get models approved
EU banks punished over lowball credit risk estimates
Two of 17 firms facing follow-up inspections will be hit by capital add-ons
Pooled resources offer way to keep credit models afloat
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
HSBC hires new head of model validation
Bank appoints Credit Suisse veteran to key role
Data shortage hits margin models for Asia banks
Thin trade volumes in local derivatives threaten to undermine key tests for initial margin models
Humans struggle to keep pace with machine learning
Banks and regulators grapple with ‘XAI’ challenge
Compliance preparations amid uncertain rules
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
Quant drought hits banks and funds in Asia
Limited pool of talent hindering expansion of sophisticated strategies across buy and sell side
A call to arms – How machine intelligence can help banks beat financial crime
The revolution in artificial intelligence promises new leads in banks’ fight against dirty money. Alexander Campbell of Risk.net hosted a live online forum, in association with NICE Actimize, to investigate the applications of this emergent technology
Optimal allocation of model risk appetite and validation threshold in the Solvency II framework
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 regulator voices doubts on Europe’s FRTB timeline
Federal Reserve warns EU delay would force US to reconsider 2022 implementation
Evaluating the risk performance of online peer-to-peer lending platforms in China
The objective of this paper is to select effective risk indicators and thus establish a risk index system of P2P platforms so as to evaluate the risk performance of these platforms in China.
Banks should quantify loan-loss model risk – academic
Models such as those used for IFRS 9, CECL or CCAR are prone to errors, and should be accounted for
BoE: UK banks falling short on stress-test model risk
Recent guidance on stress-test models could be expanded, says BoE exec