Causal modelling
Quants are using language models to map what causes what
GPT-4 does a surprisingly good job of separating causation from correlation
Brent crude oil spot and futures prices: structural break insights
This study focuses on the analysis of long-run and short-run relationships between Brent crude oil spot and futures prices during the first Gulf War (1990–91) and the global financial crisis.
Scenario analysis key for more efficient modelling
Assessing exposures and vulnerabilities gives sophisticated risk view
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Causal Taxonomy: Cause celebre
Causal Taxonomy
Correlation and credit risk
Active development of full credit portfolio modelling continues apace, even though it is not recognised in the proposed Basel II framework.
Marking the cards at ANZ
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.