Model risk
Regulators need to adopt AI for monitoring, experts say
Growing bank usage of artificial intelligence means authorities must hasten adoption themselves
Model risk in the transition to risk-free rates
Transition is an opportunity to reduce multi-rate complexities, say Bakkar and Brigo
Banks should quantify loan-loss model risk – academic
Models such as those used for IFRS 9, CECL or CCAR are prone to errors, and should be accounted for
BoE: UK banks falling short on stress-test model risk
Recent guidance on stress-test models could be expanded, says BoE exec
AI models prompt banks to strengthen governance
Risk managers want ‘transparency and clarity’ around AI-based models
Bank of America and BNY Mellon suffer VAR breaches
Trading losses exceeded estimates on a single day at each dealer in the first quarter
Sponsored video: Thomas Lee, Vivo Security
Thomas Lee, chief executive and co-founder of Vivo Security – a start-up firm based in Silicon Valley and sponsors at OpRisk North America – talks about how special the banking industry is to Vivo Security and why its approach to model risk management…
Model risk in the Fundamental Review of the Trading Book: the case of the Default Risk Charge
This paper assesses the model risk associated with the copula choice for the calculation of the Default Risk Charge (DRC) measure.
The top 10 op risks – a field guide
Survey should be read as industrywide attempt to relay and share worries anonymously
Basel op risk modelling blow shifts focus to Pillar 2
Demise of AMA leaves industry needing risk-sensitive approach for calculating top-up capital, says consultant
Bosses escape blame for options blow-up at Swedish bank
Court rules negligence by former managers and auditor of HQ Bank did not cause 2010 licence withdrawal
Governance and organizational requirements for effective model risk management
This paper expands on the foundation of model risk analytics to address the governance, organizational and human behavior challenges associated with enterprise MRM.
HKMA offers fast-track model vetting in swaps hub pitch
Streamlined process could take just six months, says official
Maximising effectiveness with tech
Winners' Circle Q&A: Risk Market Technology Awards 2018 | Murex
A Darwinian view on internal models
In this paper, Paul Embrechts reviews discussions on regulation within banking (Basel III and IV) and insurance (Solvency II and Swiss Solvency Test (SST)) from a historical, personal and academic point of view.
Model validators squeezed by stress test deadlines
CCAR cycle frustrates compliance with Fed model risk guidance
OCC regulator warns on interest rate risk build-up
Fed policy, liquidity requirements and model herding all raise concerns
Fed’s outgoing CCAR chief defends stress tests
Timothy Clark rebuffs US Treasury recommendations; supports more transparency
Banks tout machine learning amid regulatory concerns
Machine learning being used to build challenger models for model validation
CCAR feedback prompts banks to improve governance
Dual reviews of stress testing models and scenarios becoming the norm
A practical maturity assessment method for model risk management in banks
This paper proposes a qualitative method to assess the maturity of model risk management practices within banks.
This tangled web: banks seek to contain systemic model risk
Network studies are being used to identify model dependencies and concentrations
Asset price bubbles and the quantification of credit risk capital with sensitivity analysis, empirical implementation and an application to stress testing
This paper presents an analysis of the impact of asset price bubbles on standard credit risk measures.