Modelling
Fund houses get picky over where to use machine learning
Buy-siders limit usage of deep learning techniques due to haziness over their inner workings
EU’s model study finds problems with bank VAR methods
Banks surveyed by the ECB had an average of 32 issues with their market risk models
All along the watchtower – Surveillance tools against market abuse
Surveillance tools against market abuse are enjoying a technological revolution in analytics, while anxious supervisors are also closing in on market practices. Risk.net hosted a webinar in association with NICE Actimize to analyse the threats and…
Making technology count in a C/ETRM world
As businesses grow, so does their need for modern, agile and cost-effective commodity/energy trading risk management (C/ETRM) solutions. Pioneer Solutions explores how its next-generation, highly configurable C/ETRM systems take advantage of the latest…
Converging on sound model risk management practices
Although most banks are progressing rapidly towards a certain standard in MRM practices, the rate of progress is uneven and so are the ambition levels. Management Solutions provides a summarised overview of the state of MRM evolution and how banks are…
Modelling cyber losses could get easier – study
Cyber losses behaved much like non-cyber losses when grouped by severity, so perhaps less data is needed
HKEX clearing head talks margin and auctions post-Nasdaq
CCPs have work to do to restore confidence in clearing, but Roland Chai has a plan
Basel NMRF changes don’t solve Asian data challenges
Isda AGM: Asian regulators may still need to soften FRTB standards locally, warn bankers
The future of operational risk management
As the efficiency of operational risk management remains a top priority and pressure to maximise value increases, emerging technology could prove crucial. Nitish Idnani, leader of oprisk management services at Deloitte, explores how the oprisk management…
Fed preps draft white paper on cyber risk
US regulator seeks industry input for initiative on classifying and modelling threats
Op risk past is prologue for UK banks
UK banks will not be allowed to forget past misdeeds
Making machine learning work for AML
Banks’ anti-money laundering teams are starting to utilise machine learning to combat financial criminals. Risk hosted a webinar in association with NICE Actimize to explore whether these bots can be trusted
Fed DFAST models project huge credit card losses
Losses of over 57% estimated for high-risk accounts
FRTB: Singapore’s banks eye internal models for forex desks
New market risk regime dangles capital savings for own-models approach
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