Modelling
Financial distress prediction with optimal decision trees based on the optimal sampling probability
The authors propose and validate a tree-based ensemble model for financial distress prediction which is demonstrated to outperform comparative models.
BNY Mellon dips below Collins floor after surge in standardised RWAs
All nine US banks using internal models now bound by regulator-set approach
Seven banks under SEC scrutiny over interest rate risk disclosures
Regulator-issued letters aim at boosting transparency on EVE and NII sensitivity
JSCC, FICC lead VM spike across CCPs
BoJ decision to allow 10-year yields above 1% contributed to JSCC spikes
LCH UK units experience diverging IM requirements
EquityClear and RepoClear drop by half while SwapClear hits record high
Nasdaq liquidity risk jumps 15% on increased settlement flows
Maximum amount owed to CCP by single member in stress scenario rises in Q4
Higher revenue pushes HSBC’s op risk up 14%
Increased net interest income over 2023 major driver behind six-year high figure
CompatibL AI: at the forefront of change within the financial industry
The ongoing revolution in AI offers tangible benefits in risk management and financial trading. By leveraging CompatibL AI, institutions can overcome the limits of LLMs and gain accuracy, efficiency and better handling of natural language documents,…
Estimating the probability of insurance recovery in operational risk
The authors put forward a novel methodology for the estimation of probability of insurance recovery.
Rabobank cuts back on ECL overlays
Improved backtesting performance reduces add-ons to allowances to lowest in five years
ING’s op risk jumps 10% on model updates
Other European AMA users report moderate hikes
UBS predicts RWA cuts hampered by Basel III, model updates
Planned wind-down of unwanted Credit Suisse assets to be offset by $25 billion in add-ons
RBI’s op risk charges climb 22% on input-series update
Recalibration reverses savings from discontinuation of AMA a year earlier
OCC default fund up 19% in Q3
Hypothetical stress losses behind latest spike in member contributions
Forecasting the default risk of Chinese listed companies using a gradient-boosted decision tree based on the undersampling technique
The authors put forward a model for default prediction designed to minimise the impact of imbalanced classification, verifying its effectiveness with real world data from Chinese listed companies.
ABN Amro ditches op risk modelling
Dutch lender latest EU bank to switch to the standardised approach ahead of SMA introduction in 2025
Degree of influence 2023: Quants thrive on volatility
Climate, crypto and market impact also featured among the top research topics in 2023
Can machine learning help predict recessions? Not really
Artificial intelligence models stumble on noisy data and lack of interpretability
Party’s over as more banks drop internal models for market risk
At least three systemic banks in Europe intend to ditch IMA for capital requirements
Share of op risk modelling falls at European banks
Less than half of analysed dealers rely on the AMA, as introduction of new standardised approach looms large
How patchy liquidity is stymieing systematic credit
…and what investors like AllianceBernstein, Man Numeric and Acadian are doing about it
UN climate risk chief calls for shorter-term stress tests
But banks say heavy modelling demands will take time to respond to adequately
Europe’s lenders sail into uncharted waters of the banking book
Regulators are pushing banks to map their credit spread risk. Here be dragons?
Liquidity risk hits multi-year highs at both CME divisions
Changes to clearing member exposures and portfolio composition drive increases