Modelling
Falling margins force energy firms to expand data use
Verification and model challenges arise as volatility and margins dry up
Asian privacy laws obstruct FRTB data pooling efforts
Bank scepticism and regulatory hurdles likely to inhibit cross-border information sharing
Mnuchin makes life harder for quants
Proposed CCAR changes make KVA calculations even more complex
XVA reaches far and wide
Sponsored Q&A: CompatibL, Murex and Numerix
Quants head for the shop floor
Demand for technical skills is growing, but roles have changed – and some schools are not keeping up
Model calibration with neural networks
Andres Hernandez presents a neural network approach to speed up model calibration
Solvency II model approvals: lessons from round one
Board members must help shape model validation process
Don’t let the SMA kill op risk modelling
The SMA is not a good response to the AMA’s failings – but don’t throw the baby out with the bathwater
A gradient-boosting decision-tree approach for firm failure prediction: an empirical model evaluation of Chinese listed companies
In this paper, the authors employ a gradient-boosting decision-tree method to improve firm failure prediction and explain how to better analyze the relative importance of each financial variable.
Modeling impacts of stock jumps on real estate investment trust returns with application to value-at-risk
This paper aims to model the impact of extreme stock jumps on REIT returns.
Forecasting scenarios from the perspective of a reverse stress test using second-order cone programming
This paper proposes a model for forecasting scenarios from the perspective of a reverse stress test using interest rate, equity and foreign exchange data.
Using cloud-based solutions to improve risk modelling
Content provided by IBM and Risk.net
Solving the FRTB puzzle
Sponsored FRTB forum: IHS Markit
A structural model for estimating losses associated with the mis-selling of retail banking products
In this paper, a structural model is presented for estimating losses associated with the mis-selling of retail banking products. It is the first paper to consider factor-based modeling for this operational/conduct risk scenario.
Banks seek to pry open CCP black boxes
Clarity on model inputs may have averted Brexit chaos, FCMs claim
Energy firms assess costs of cyber attacks
Analytics are considered key to cyber risk management
Operational risk modelling – finally?
Sponsored feature: Elseware
Further investigation of parametric loss given default modeling
The authors conduct a comprehensive study of some parametric models that are designed to fit the unusual bounded and bimodal distribution of loss given default (LGD).
Impact of nonstationarity on estimating and modeling empirical copulas of daily stock returns
This paper investigates the extent to which the nonstationarity of financial time series affects both the estimation and the modeling of empirical copulas.
Multifactor risk models and heterotic CAPM
The authors of this paper give a complete algorithm and source code for constructing general multifactor risk models via any combination of style factors, principal components and/or industry factors.
FRTB standard rules cause worries about duplication
Sensitivity-based approach means “we have to do everything twice”, complains one head of trading
Model firms vie to pinpoint ‘X factor’ in private equity, property
Difficulties gathering data plague efforts to determine correlation between private and publicly traded assets
Relative performance persistence of financial forecasting models and its economic implications
This paper addresses the issue of model selection risk by examining whether a model’s past performance in forecasting expected returns provides an indication of its future forecasting performance.