Modelling
How AI agents can join the dots for risk managers
Citi risk expert outlines agentic AI tool that would pull together structured and unstructured data on trading and lending approvals to create single, unified view of risk
Do banks still need to validate GenAI models?
Regulators carved out GenAI models from new risk guidance. Banks shouldn’t see this as a reason to stop validating them.
Capturing smile dynamics with the quintic volatility model: SPX, SSR and VIX
A new model captures the term structure of SPX & VIX implied volatilities, ATM skew, and the skew-stickiness ratio
Hopes, fears and ‘mass confusion’: the sudden end of SR 11-7
Banks welcome chance to prioritise model reviews, but fret over future policy changes and AI
AI risk management and the shift to capability control
By reframing validation, banks can align innovation with regulatory demands and maintain robust risk discipline, argues risk manager
In the age of GenAI, why do we still need good models?
Jean-Philippe Bouchaud says models can guide artificial intelligence through regime shifts and away from overfitting
The do-it-all machine: model risk in the age of generative AI
Banks race to understand risks posed by new breed of multi-purpose bots
Top 10 op risks: AI upends risk taxonomies
AI risk enters annual poll in fifth, but firms split over treating it as a standalone risk or a cross-cutting driver
The MIT professor giving LLMs a ‘brain scan’
Hui Chen’s research is yielding new ways to interpret – and steer – AI models
Top 10 op risks 2026: Cyber stays top, AI risk enters at fifth
Third-party and outsourcing risk climbs to third; fraud and fincrime edge out geopolitical risk
Limited RWA gains support rethink on Fed output floor
Advanced approaches cut RWAs only marginally across US banks
A Hormuz tipping point may be days away
Agent-based model suggests delays and shortages likely to accelerate after four weeks
FRTB internal models: quo vadis?
Two risk experts explore how to adjust the FRTB framework to promote internal model usage
Methodology change drives Eurex liquidity obligation to record
Limiting offsets to private-sector securities pushes estimated hypothetical obligation up 79%
A smooth fit for complex volatility surfaces
Quant shows a new way to capture implied vol with optimisers
Polytechnique’s Lehalle on bottleneck models and Hormuz closure
Iran conflict raises a now-familiar problem, says quant: how to predict which goods go where
Convex volatility interpolation
The modelling of implied volatility surfaces is reframed as an optimisation problem
‘The models are not bloody wrong’: a storm in climate risk
Risk Benchmarking: Risk.net’s latest benchmarking exercise shows banks confronting decades-long exposures, while grappling with political headwinds, limited resources and data gaps
Markets never forget: the lasting impression of square-root impact
Jean-Philippe Bouchaud argues trade flows have a large and long-term effect on asset prices
The state of IMA: great expectations meet reality
Latest trading book rules overhaul internal models approach, but most banks are opting out. Two risk experts explore why
When betas meet the cross section: a hybrid risk model for equity portfolios
The authors propose an application of Kelly et al's 2018 model combining regression-based betas with cross-sectional and time series elements, enhancing precision, reducing data needs, and simplifying multiregional models while effectively optimizing…
Santander SVAR surge lifts IMA RWAs 22%
Third-quarter spike contrasts with broad European declines
Allocating financing costs: centralised vs decentralised treasury
Centralisation can boost efficiency when coupled with an effective pricing and attribution framework
EVE and NII dominate IRRBB limit-setting
ALM Benchmarking study finds majority of banks relying on hard risk limits, and a minority supplementing with early-warning indicators