Modelling
HKEX clearing head talks margin and auctions post-Nasdaq
CCPs have work to do to restore confidence in clearing, but Roland Chai has a plan
Basel NMRF changes don’t solve Asian data challenges
Isda AGM: Asian regulators may still need to soften FRTB standards locally, warn bankers
The future of operational risk management
As the efficiency of operational risk management remains a top priority and pressure to maximise value increases, emerging technology could prove crucial. Nitish Idnani, leader of oprisk management services at Deloitte, explores how the oprisk management…
Fed preps draft white paper on cyber risk
US regulator seeks industry input for initiative on classifying and modelling threats
Op risk past is prologue for UK banks
UK banks will not be allowed to forget past misdeeds
Making machine learning work for AML
Banks’ anti-money laundering teams are starting to utilise machine learning to combat financial criminals. Risk hosted a webinar in association with NICE Actimize to explore whether these bots can be trusted
Fed DFAST models project huge credit card losses
Losses of over 57% estimated for high-risk accounts
FRTB: Singapore’s banks eye internal models for forex desks
New market risk regime dangles capital savings for own-models approach
Cyber modelling masks scale of potential losses, study finds
Different statistical approaches produce big variations in future loss estimates, says Esma researcher
Revised Basel output floor to bind 41% of European banks
Cap on modelled capital will also constrain 6% of Americas banks and 34% of banks from the rest of the world
Op risk capital to jump 45% for European banks under Basel III
Some banks could see capital increases of more than 60%
Japan regulator: new FRTB will help uniform Asian uptake
Relaxation of non-modellable risk factors, among other revisions, welcomed by FSA
Finding potential in a volatile commodities market
Macquarie is uniquely positioned to offer clients a range of products, expertise and experience across the commodities space. Nick O’Kane discusses the bank’s approach to commodity markets and what he expects next
At US G-Sibs, 11 VAR breaches in 2018
The final quarter of 2018 saw a record number of VAR breaches at the biggest US banks
Natixis creates model to ‘learn’ how factors interact
Random forest technique sheds light on flux in how factors mix, manager says
Goldman suffers first VAR breach since 2016
Goldman reported 45 days in the calendar quarter where it suffered a trading loss
Modelling interrelated shocks will improve stress tests – research
Call for regulators to ditch standard scenarios for more sensitive approach
Model risk chiefs warn on machine learning bias
ML model outputs open to “potential bias sitting in your datasets”, says RBS model risk head
Valuation model risk on the rise at EU banks
Over two-thirds of fair value assets priced using banks' models
HSBC hires new head of model validation
Bank appoints Credit Suisse veteran to key role
Profit emergence under IFRS 17
Major changes are expected under the new IFRS 17 regime – insurance companies must make efforts to comprehend and communicate the full impact of changes to profit emergence under different scenarios, and its sensitivity to different methodology choices,…