Model risk
The loneliness of the model risk manager
Boards may see them as a drag on innovation; risk functions need to show they embrace efficiency
Esma won’t soften regulatory expectations for cloud and AI
CCP supervisory chair signals heightened scrutiny of third-party risk and operational resilience
BPI says SR 11-7 should go; bank model risk chiefs say ‘no’
Lobby group wants US guidance repealed; practitioners want consistent model supervision and audit
At BNY, a risk-centric approach to GenAI
Centralised platform allows bank to focus on risk management, governance and, not least, talent in its AI build
Rethinking model validation for GenAI governance
A US model risk leader outlines how banks can recalibrate existing supervisory standards
The state of IMA: great expectations meet reality
Latest trading book rules overhaul internal models approach, but most banks are opting out. Two risk experts explore why
How geopolitical risk turned into a systemic stress test
Conflict over resources is reshaping markets in a way that goes beyond occasional risk premia
Banks split over AI risk management
Model teams hold the reins, but some argue AI is an enterprise risk
Current Expected Credit Losses implementation and model risk in uncertain times: an application to consumer finance
This paper discusses challenges in economic forecasting and model misspecification errors faced by financial institutions implementing the CECL allowance methodology and its impact on model risk and bias in CECL projections.
The relative entropy of expectation and price
The replacement of risk-neutral pricing with entropic risk optimisation
XVA desks prioritise core tech upgrades over AI
Vendor upgrades, cloud-native rebuilds and sensitivities tooling dominate 2026 budget road maps
NMRF framework: does it satisfy the ‘use test’?
Non-modellable risk factors affect risk sensitivity and face practical and calibration difficulties, argue two risk experts
Almost two-thirds of banks now run XVAs on cloud
Risk Benchmarking study finds a majority of big dealers tapping cloud capacity, some exclusively, with others migrating
Lloyds draws a (second) line on AI risk
Model risk office is accountable for managing the risk of AI roll-out at the UK bank
How FCA could help tackle third-party risk in AI
UK regulator’s supercharged sandbox is designed to boost explainability and reduce reliance on vendors
When AI models malfunction, address the problem not the math
Governance of artificial intelligence models should focus on actionable outcomes rather than interpretability, argues former chief regulator
Multi-factor Gaussian model calibration: swaptions and constant maturity swap options
A novel closed-form method delivers a new way to calibrate interest rate models
Double VAR breach in Q2 adds $4.1bn to JP Morgan’s market RWAs
Sixth regulatory backtesting exception in nine months lifts the multiplier above minimum for the first time since Q3 2022
Generative AI brings testing times for modellers
Flagstar’s lead model validator offers some tips for safely integrating LLMs into risk models
The AI bot that left the garage
Senior operational risk exec explains how hidden third-party feature could lead to systemic risk
SEB’s market risk add-on swells 153% in Q2
Temporary adjustment more than doubles as internal model change awaits sign-off