Modelling
Model risk mitigation for pricing services: from the model owner’s lens
Financial markets rely heavily on quantitative models for decision-making, making effective model risk management crucial. Attika Raj, senior specialist, complex securities pricing at LSEG Data & Analytics, emphasises the importance of the first line of…
Ice Europe’s liquid resources up 27% under new model
More comprehensive stress-testing model pushes highly marketable collateral to record high in Q1
CIBC’s VAR hits highest since 2008 amid interest rate risk surge
Client and market-making activities responsible for 44% increase
Op risk managers say models will survive phase-out of AMA
Risk Live: Supervisory focus expected to shift to Pillar 2 capital, and ILM may make a comeback in Europe
Bank treasuries should help monitor hidden optionality – JPM exec
Risk Live: JP Morgan ALM structurer calls for greater treasury involvement in product design
At BayernLB, Nykredit and Erste, op risk charges hit multi-year highs
Annual model recalibrations responsible for double-digit rises
Advancing risk management using new data techniques
This webinar shares best practices on how risk management can be improved and insights on how risk managers can use big data to improve risk modelling
Japanese banks reap ¥9trn RWA savings from FRTB switch
Tokyo’s dealers fare better than overseas rivals on new CVA and market risk approaches
ANZ’s end-period VAR spikes to highest in a decade
Interest rate risk drives 53% surge; market risk up A$1.6bn
Financial distress prediction with optimal decision trees based on the optimal sampling probability
The authors propose and validate a tree-based ensemble model for financial distress prediction which is demonstrated to outperform comparative models.
BNY Mellon dips below Collins floor after surge in standardised RWAs
All nine US banks using internal models now bound by regulator-set approach
Seven banks under SEC scrutiny over interest rate risk disclosures
Regulator-issued letters aim at boosting transparency on EVE and NII sensitivity
JSCC, FICC lead VM spike across CCPs
BoJ decision to allow 10-year yields above 1% contributed to JSCC spikes
LCH UK units experience diverging IM requirements
EquityClear and RepoClear drop by half while SwapClear hits record high
Nasdaq liquidity risk jumps 15% on increased settlement flows
Maximum amount owed to CCP by single member in stress scenario rises in Q4
Higher revenue pushes HSBC’s op risk up 14%
Increased net interest income over 2023 major driver behind six-year high figure
CompatibL AI: at the forefront of change within the financial industry
The ongoing revolution in AI offers tangible benefits in risk management and financial trading. By leveraging CompatibL AI, institutions can overcome the limits of LLMs and gain accuracy, efficiency and better handling of natural language documents,…
Estimating the probability of insurance recovery in operational risk
The authors put forward a novel methodology for the estimation of probability of insurance recovery.
Rabobank cuts back on ECL overlays
Improved backtesting performance reduces add-ons to allowances to lowest in five years
ING’s op risk jumps 10% on model updates
Other European AMA users report moderate hikes
UBS predicts RWA cuts hampered by Basel III, model updates
Planned wind-down of unwanted Credit Suisse assets to be offset by $25 billion in add-ons