After spotting FX arbitrage opportunities, new tech faces real-world test in Japanese stocks
This paper examines which hybridization strategy is more suitable for credit risk assessment in the dynamic financial world.
This study compares the gradient-boosting model with four other well-known classifiers, namely, a classification and regression tree (CART), logistic regression (LR), multivariate adaptive regression splines (MARS) and a random forest (RF).
Chris Dias, principal at KPMG, explains how the vast increase in accuracy that artificial intelligence (AI) offers when dealing with large volumes of complex agreements is crucial to exploring the market opportunities and mitigating the risks of the…
Application scoring plays a critical role in determining the future quality of a lender’s book. It is therefore important to monitor the performance of an application scorecard to ensure it performs as expected.
The implicit constraints of Fundamental Review of the Trading Book profit-and-loss-attribution testing and a possible alternative framework
This paper presents the constraints embedded in the the profit-and-loss-attribution test and explores a possible alternative framework.
Different statistical approaches produce big variations in future loss estimates, says Esma researcher
Tests improve on methods to identify anomalous data created by fraudsters
Demand for technical skills is growing, but roles have changed – and some schools are not keeping up
New stress-testing method offers a break from decades-old traditio
Social media and live newsfeeds not so far useful, hedge fund says
The simple link from default to LGD
Overreliance on modern risk management systems, and metrics such as value-at-risk, can blind firms to tectonic structural market shifts. To help alleviate this problem, the use of human judgement and intervention is required, argues Vincent Kaminski
Accurate forecasting and insightful analysis prove a winning formula for SG CIB
Energy Risk software survey shows traders plan to add to ETRM systems in 2011; vendors discuss integration problems
European Central Bank draws attention to information gaps, says broader and more flexible data will aid macroprudential supervision
Credit loss models typically calibrate default separate from loss given default. Here, Jon Frye calibrates simultaneously, using credit loss data. This produces a surprising test result: the credit loss models do not significantly outperform a…
Too often, finance professionals manifest a smug sense of superiority towards their peers in manufacturing. In this third column in a series, David Rowe argues that when it comes to operational risk management, the manufacturing sector has much to teach…
While the debates have raged for months about many aspects of the proposed Basel II Accord, on some points there has been relative silence, in particular with regard to the seeming overreliance on statistical techniques.
Degree of influence
Mark Lawrence of ANZ Group describes how the bank chose and developed a “scorecard” approach to measuring operational risks, and how – 12 months after the start of the project –it is already achieving a more efficient allocation of capital.