Modelling
Cyber modelling masks scale of potential losses, study finds
Different statistical approaches produce big variations in future loss estimates, says Esma researcher
Revised Basel output floor to bind 41% of European banks
Cap on modelled capital will also constrain 6% of Americas banks and 34% of banks from the rest of the world
Op risk capital to jump 45% for European banks under Basel III
Some banks could see capital increases of more than 60%
Japan regulator: new FRTB will help uniform Asian uptake
Relaxation of non-modellable risk factors, among other revisions, welcomed by FSA
Finding potential in a volatile commodities market
Macquarie is uniquely positioned to offer clients a range of products, expertise and experience across the commodities space. Nick O’Kane discusses the bank’s approach to commodity markets and what he expects next
At US G-Sibs, 11 VAR breaches in 2018
The final quarter of 2018 saw a record number of VAR breaches at the biggest US banks
Natixis creates model to ‘learn’ how factors interact
Random forest technique sheds light on flux in how factors mix, manager says
Goldman suffers first VAR breach since 2016
Goldman reported 45 days in the calendar quarter where it suffered a trading loss
Modelling interrelated shocks will improve stress tests – research
Call for regulators to ditch standard scenarios for more sensitive approach
Model risk chiefs warn on machine learning bias
ML model outputs open to “potential bias sitting in your datasets”, says RBS model risk head
Valuation model risk on the rise at EU banks
Over two-thirds of fair value assets priced using banks' models
HSBC hires new head of model validation
Bank appoints Credit Suisse veteran to key role
Profit emergence under IFRS 17
Major changes are expected under the new IFRS 17 regime – insurance companies must make efforts to comprehend and communicate the full impact of changes to profit emergence under different scenarios, and its sensitivity to different methodology choices,…
New directions – Diversification of alternative risk premia strategies
Despite a difficult year, investors remain keen to use alternative risk premia strategies. However, current approaches may be less diversified than they appear, especially given cross-contamination in cash equity factors. According to Nomura, a more…
BNPP, Credit Suisse, State Street incur VAR breaches
BNP Paribas capital multiplier increases on seventh breach in nine months
The disputed terrain of model risk scoring
There is no concord on how banks should police their model risk. But two Fed economists have an idea
Choosing the right model for non-cleared OTC margining
When the final phase of the swaps market’s new margining regime takes effect in 2020, hundreds – possibly thousands – of buy-side firms will be hit by complex margin requirements.
How to apply Python to complex financial markets
The unprecedented proliferation of data in derivatives markets has led to a rise in popularity of Python, a multipurpose programming language known for its versatility and flexibility. Undoubtedly, the increased adoption of Python has helped enable…
Banks split on human oversight of AI models
Risk USA: Most firms supervise their models, but one expert says they can be trusted to make decisions
Humans struggle to keep pace with machine learning
Banks and regulators grapple with ‘XAI’ challenge
Machine learning hits explainability barrier
Banks hire AI industry experts in face of growing regulatory scrutiny