Changing regulations and new accounting standards are creating enormous challenges for financial organisations. SAS explores why, to successfully meet these new requirements, organisations need to rethink the way they operate
Guillaume Arnaud, global head of quantitative investment strategies (QIS), and Sandrine Ungari, head of cross-asset quantitative research at Societe Generale, explore the benefits of QIS for investors, why flexibility is crucial for investors to meet…
Quants flag signal-to-noise ratio as key to reducing overfitting risk
New market risk regime dangles capital savings for own-models approach
Modular tech and micro-services – plus new risk and regulatory needs – are creating openings for insurgents and incumbents
Restrictions on use of proxy data will bar banks from using internal models, conference hears
Firms have until 2021 to implement FRTB, and those yet to begin compliance efforts risk putting themselves at a disadvantage. EY‘s financial services risk partners Shaun Abueita and Sonja Koerner explore the current level of readiness within the industry…
As many as 70 banks globally could adopt internal model approach for market risk capital
Ebor especially suited to modelling loss events such as legal claims, say proponents
In this paper, an extension of the CreditRisk+ model, called the mixed vector model, is proposed.
In this paper, a sensitivity analysis using pair–copula decomposition of multivariate dependency models is performed on estimates of value-at-risk (VaR) and conditional value-at-risk (CVaR).
Common multi-factor strategies have hidden macroeconomic exposures, research shows
Smaller banks unwilling to hand over localised trade information to data utilities
Local lenders reject advances of major data utilities to build own solution
Swiss, UK bank efforts to comply with regulators’ risks-not-in-VAR rules may be undone by transition to FRTB
This paper focuses upon the oil and gas industry, examining the association between exploration activity risk and company shareholder returns.
Rival to Bloomberg and Markit offerings claims ability to squash banks’ NMRF exposure by 50%
Swapping non-modellable risk factors for proxies may make it harder to pass P&L attribution test
Basel language would force unnatural treatment of offsetting positions