Modelling
A model future (part II)
A model future (part II)
Don't blame the quants, says Merton
Quantitative models were unfairly criticised in the aftermath of the financial crisis, says legendary quant and co-creator of the Black-Scholes equation, but there’s plenty for quants to work on in the current environment
Risk.net poll: Basel Committee wrong to be sceptical of capital models
Readers of Risk.net vote two to one against the Basel Committee's new-found distrust of internal capital modelling
Longevity modelling must evolve
Longevity modelling must evolve
OCC faces VAR vetting questions over JP Morgan loss
US regulator is responsible for signing off models used for regulatory capital purposes
Marcelo Cruz: Robust estimation
A number of recent papers submitted to the Journal of Operational Risk on robust estimation reflect the concerns of the op risk modelling community about the reliability of parameter estimation in severity distributions
JP Morgan’s ‘London whale’ losses spark VAR debate
In-house probe will look at role of internal model change, among other factors
Mitigating the risk of organised crime on banks' call centres
A balanced defence
Analysing common processes used to model energy prices
An introduction to energy spot price processes
ORR Innovation Awards: Insurer of the year
Zurich Financial Services
Economic turmoil taxes market risk models
Treading carefully
The volatility challenge
The volatility challenge
Quants of the year: Jesper Andreasen and Brian Huge, Danske Bank
Risk awards 2012
Cutting Edge introduction: requiem for a probabilist
Requiem for a probabilist
How insurers are dealing with internal model validation
The appropriate model
Alternative liability modelling techniques
Lessons from America
Insurers look to optimise curve-fitting technique
The learning curve
Quant Congress Europe: Peter Carr introduces ‘meta-modelling’
Morgan Stanley quant tells Risk's annual European quantitative finance event that modelling assumptions should be considered in light of calibration needs - even if this leads to discrepancies
Why insurers are turning to the least squares Monte Carlo modelling technique
The Monte Carlo method
IMF modelling work on liquidity risk points to capital hike, says Jobst
Recent analysis by the International Monetary Fund indicates that banks in the US need to raise capital to cover systemic liquidity risk threats