Alexander Campbell
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Articles by Alexander Campbell
P&L test in FRTB may not work – research
Delays in approval and small data sets may doom internal model approach, research finds
Research finds ways to tame FRTB’s biases in forex charges
New paper shows ways to reduce influence of reporting currency
CCP margining not procyclical, research suggests
Excess collateral acts as buffer in 10 years of data at unnamed CCP
Broaden your reach on model risk, quants told
Three banks say their model inventories are “a work in progress”
Variation margin, the SLR and the transatlantic insurance deal
The week on Risk.net, February 24-March 2, 2017
State aid, Brexit’s impact on Mifid, and the Fed embattled
The week in Risk.net, February 10-16 2017
Basel III has aided system stability, interbank models suggest
Model predicts future crashes will not be total wipeout
Invest on the edges to avoid contagion, research suggests
Loosely connected assets are better protected against market crashes
Reputation model reveals how banks drag each other down
Network study shows bottom-line impact of bad news elsewhere
SMA data shortfalls ‘make op risk review a must’
New research adds to criticism of proposed op risk capital method
'Risk budget' touted to help investors avoid the herd
Keep spare risk capacity – rather than running close to limits – to exploit crises, researchers advise