Modelling
Canada’s banks go it alone with FRTB data utility
Local lenders reject advances of major data utilities to build own solution
Deutsche adds senior quant to risk methodology team
Theis leaves role as head of market models at Standard Chartered to join German bank
Top 10 operational risks for 2018
The biggest op risks for 2018, as chosen by industry practitioners
Top 10 op risks 2018: model risk
Model risk re-enters top 10 amid avalanche of validation regulations
Three ways to improve stress testing
Better scenario choice, iterative testing and top-down approaches could improve performance, says Ahraz Sheikh
Banks wrestle with conduct risk capital add-ons
Conduct risk-related additions to Pillar 2 capital raise questions over scope of UK’s Senior Managers Regime
Chinese megabanks set to lose out in switch to SMA
Bank of China, ICBC likely to see lower reductions in operational risk capital due to reliance on interest income
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
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.
Fed willing to listen on CCAR transparency calls
Central bank will seek industry input on bolstering transparency of stress test regime, says Quarles
Model validators squeezed by stress test deadlines
CCAR cycle frustrates compliance with Fed model risk guidance
US Treasury’s research arm revamps systemic risk models
New approach from OFR relies on separate measures of stress and vulnerability
Machine learning could solve optimal execution problem
Reinforcement learning can be used to optimally execute order flows
Cyber risk a top threat for energy firms
Cyber crime cited among top three external risks; scarce data makes modelling difficult
Fed weighs greater transparency on CCAR models
Disclosing model-implied losses would aid capital planning, bankers say
CCAR feedback prompts banks to improve governance
Dual reviews of stress testing models and scenarios becoming the norm
UC’s Bookstaber urges use of agent-based models
Pension fund’s CRO says buy side should go beyond stress tests and try to model systemic risk
This tangled web: banks seek to contain systemic model risk
Network studies are being used to identify model dependencies and concentrations
Using derivatives to forecast oil scenarios
Generating probability-weighted oil price scenarios from traded derivatives prices can help risk managers in the industry
Banks warned off machine learning for model risk
Banks acknowledge they “cannot hide behind a complex tool” to assess interconnectedness
Local-stochastic volatility: models and non-models
Lorenzo Bergomi exposes a condition important to the use of LSV models in trading
Profile: Quant boss touts benefits of tech team merger
TD Securities says combining teams has allowed rapid rollout of platform for risk and P&L management