Modelling
Risk weight tweak could fix IFRS 9 capital clash – research
Practitioner suggests way to cancel out double-counting of Basel credit loss provisions
Climate risk-weighting: the devil and the deep blue sea
Should capital charges be calibrated to climate risk? European banks test the waters
Rising star in quant finance: Blanka Horvath, Aitor Muguruza and Mehdi Tomas
Risk Awards 2020: New machine learning techniques bring ‘rough volatility’ models to life
The Fundamentals of market risk rules
With the 2022 Fundamental Review of the Trading Book (FRTB) deadline looming, banks are fast coming to grips with the amount of work still to be done to achieve a successful implementation
When the data’s not there, expert-led models could help
Missing data is a problem. Expert elicitation taps the knowledge of many, say consultants
The theoretical foundations of XVAs
Bloomberg analyses the theoretical basis of XVAs, focusing on the works and findings of its head of quantitative XVA analytics, Mats Kjaer, who emphasises the role of the capital valuation adjustment as a major driver of derivatives trading profitability…
Climate change spells death of certainty
Global warming threatens to upend everything risk models take for granted
Cat risk: why forecasting climate change is a disaster
Forecasters are poles apart on climate-driven catastrophes; insurers fear worse ahead
Navigating the impact of climate risk on financial stability
As uncertainty abounds on the impact climate change may have on the industry, financial services firms must best equip themselves for potential regulatory and socioeconomic changes to ensure they maximise the opportunities of embracing new best practices…
Banks join forces on model development utility
Crisil is working with HSBC and three other banks on platform to share model-building tools
Stress-testing: still worth the stress?
There may be more efficient ways to assess if banks are misjudging their risks
Stress-testing to improve strategic decision‑making
Banking regulators remain focused on expanding and developing the range of stress-testing regimes across the globe to maintain stability, monitor emerging risks and avoid another financial crisis. Here, a forum of industry leaders discusses the evolution…
Lease finance accounting – A new standard
International Financial Reporting Standard 16 came into effect on January 1. The impact of the new standard can be felt across all industries, particularly those that rely heavily on rentals and leasing as part of their core business. A global leader in…
Europe’s new default rules: a defined benefit?
EBA’s single definition of default will have multiple effects for credit risk management, say consultants from PwC
Banks seek new value for their efforts
As regulatory stress tests evolve and a new age of stress-testing approaches, firms are looking to maximise value by making the most of scenario-based analytics. John Voigt, principal solutions manager at SAS, explores the importance to institutions of…
Companies delay climate policy action at their peril
Failure to take immediate action on the proposals set out in the Paris Agreement on climate change could cost approximately $1.2 trillion over the next 15 years in policy risk costs. Oliver Marchand, co-founder of Carbon Delta and executive director of…
When climate risk starts to bite
Energy firms under increased pressure to assess physical climate risk
IFRS 9 flings loan-loss provisions haphazardly higher
Under the standard, cash piles for bad loans were expected to ramble. Just not quite so much
Computer says no: combating bias in machine learning models
Proposed US law on algo lending targets in-built discrimination, say modelling experts
Looking forward to backward‑looking rates
Interbank offered rates are critical in the world of contracts and derivatives, acting as reference rates in millions of financial contracts and with a total market exposure in the hundreds of trillions of dollars. Bloomberg explores why offering…
Deploying agile analytics in the fight against fraud
Financial firms are under pressure to tackle the widespread problem of financial fraud. As the speed, scale and sophistication of fraudulent activity grows, a panel of financial crime experts reveal how firms can develop an agile analytics capability to…
The great migration: CCPs ponder life after Span
As CME moves to a value-at-risk methodology, CCPs that license its model look on nervously
Q&A: CFTC’s Behnam on tackling market risk in climate change
Commissioner wants to see new derivatives products to help mitigate climate threat