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,…
Planned wind-down of unwanted Credit Suisse assets to be offset by $25 billion in add-ons
Recalibration reverses savings from discontinuation of AMA a year earlier
Hypothetical stress losses behind latest spike in member contributions
Forecasting the default risk of Chinese listed companies using a gradient-boosted decision tree based on the undersampling technique
The authors put forward a model for default prediction designed to minimise the impact of imbalanced classification, verifying its effectiveness with real world data from Chinese listed companies.
Dutch lender latest EU bank to switch to the standardised approach ahead of SMA introduction in 2025
Climate, crypto and market impact also featured among the top research topics in 2023
Artificial intelligence models stumble on noisy data and lack of interpretability
At least three systemic banks in Europe intend to ditch IMA for capital requirements
Less than half of analysed dealers rely on the AMA, as introduction of new standardised approach looms large
…and what investors like AllianceBernstein, Man Numeric and Acadian are doing about it
But banks say heavy modelling demands will take time to respond to adequately
Regulators are pushing banks to map their credit spread risk. Here be dragons?
Changes to clearing member exposures and portfolio composition drive increases
Concentration of activity around June expiration responsible for record rise
Bank credit portfolio managers are increasingly finding that non-financial risks, such as cyber risk and climate risk, are falling under the remit of credit portfolio management. This will also be impacted by the upcoming Basel III Final Reforms, which…
Chinese bank’s market risk up by over a third to highest level in a decade
Market charges up 230% in harsh test of new standardised approaches
Worst one-day trading loss at Dallas-based company was six times as large as its forecast
End of credit risk modelling and scaling up of SCB’s role could tip six US banks below minimum requirements
A two-stage nonlinear approach for modeling hourly spot power prices with an application to spot market risk valuation of the power yield of a solar array in Germany
This paper combines a seasonal autoregressive moving average model with a Markov regime-switching model approach for power spot prices, allowing intraday and weekly seasonalities to be incorporated.