Modelling
CCAR feedback prompts banks to improve governance
Dual reviews of stress testing models and scenarios becoming the norm
UC’s Bookstaber urges use of agent-based models
Pension fund’s CRO says buy side should go beyond stress tests and try to model systemic risk
This tangled web: banks seek to contain systemic model risk
Network studies are being used to identify model dependencies and concentrations
Using derivatives to forecast oil scenarios
Generating probability-weighted oil price scenarios from traded derivatives prices can help risk managers in the industry
Banks warned off machine learning for model risk
Banks acknowledge they “cannot hide behind a complex tool” to assess interconnectedness
Local-stochastic volatility: models and non-models
Lorenzo Bergomi exposes a condition important to the use of LSV models in trading
Profile: Quant boss touts benefits of tech team merger
TD Securities says combining teams has allowed rapid rollout of platform for risk and P&L management
Falling margins force energy firms to expand data use
Verification and model challenges arise as volatility and margins dry up
Asian privacy laws obstruct FRTB data pooling efforts
Bank scepticism and regulatory hurdles likely to inhibit cross-border information sharing
Mnuchin makes life harder for quants
Proposed CCAR changes make KVA calculations even more complex
XVA reaches far and wide
Sponsored Q&A: CompatibL, Murex and Numerix
Quants head for the shop floor
Demand for technical skills is growing, but roles have changed – and some schools are not keeping up
Model calibration with neural networks
Andres Hernandez presents a neural network approach to speed up model calibration
Solvency II model approvals: lessons from round one
Board members must help shape model validation process
Don’t let the SMA kill op risk modelling
The SMA is not a good response to the AMA’s failings – but don’t throw the baby out with the bathwater
A gradient-boosting decision-tree approach for firm failure prediction: an empirical model evaluation of Chinese listed companies
In this paper, the authors employ a gradient-boosting decision-tree method to improve firm failure prediction and explain how to better analyze the relative importance of each financial variable.
Modeling impacts of stock jumps on real estate investment trust returns with application to value-at-risk
This paper aims to model the impact of extreme stock jumps on REIT returns.
Forecasting scenarios from the perspective of a reverse stress test using second-order cone programming
This paper proposes a model for forecasting scenarios from the perspective of a reverse stress test using interest rate, equity and foreign exchange data.
Using cloud-based solutions to improve risk modelling
Content provided by IBM and Risk.net
Solving the FRTB puzzle
Sponsored FRTB forum: IHS Markit
A structural model for estimating losses associated with the mis-selling of retail banking products
In this paper, a structural model is presented for estimating losses associated with the mis-selling of retail banking products. It is the first paper to consider factor-based modeling for this operational/conduct risk scenario.
Banks seek to pry open CCP black boxes
Clarity on model inputs may have averted Brexit chaos, FCMs claim
Energy firms assess costs of cyber attacks
Analytics are considered key to cyber risk management