Modelling
Disruptive technology could leave regulators behind – Stanworth
Focus on historical data is out of step with speed of change, says head of L&G Capital
Loss given default modeling: an application to data from a Polish bank
This paper compares two methods of estimating LGD: a beta regression model and a multinomial logit (MNL) model.
Veolia: taking XVAs by the horns
Veolia's Damien Vancraeyneste, on capping costs and challenging banks’ calculations
Maximising refinery profits using portfolio optimisation
Making the right decisions requires an enterprise-wide view of risk, authors argue
Presentation is key to making most of insurance models
Management depends on clear information to harness full value, say specialists
A robust set-valued scenario approach for handling modeling risk in portfolio optimization
By introducing the set-valued scenario, this paper proposes a unified robust portfolio selection approach under downside risk measures.
New trading book QIS tackles correlation gripes
Changes proposed for correlation, exotic derivatives and hard-to-model risks
Creating effective revenue forecast models for CCAR using machine intelligence
Sponsored webinar: Ayasdi
Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression
The authors of this paper investigate the risk modeling of commodities. They note that return distributions differ widely across different commodities, both in terms of tail fatness and skewness.
The global network of payment flows
This paper considers a network of cross-border SWIFT message flows where nodes are the countries in which the sending and receiving banks are domiciled. The authors analyze how the payment flows reflect or predict various aspects of the real economies.
Quant ideas: Do we need realistic models?
Realistic models not necessarily a prerequisite for successful risk management
Practitioners must take risk measures with a pinch of salt
Buffett's warning on perils of volatility is well justified, argues Kaminski
Markets specialists make push into VA modelling
Actuarial system vendors face growing competition
Anatomy of a model: Valuation of physical assets
Quant ideas paper dissects layers of valuation models for physical assets
Oil prices collapse: assessing the ‘known unknowns’
Vincent Kaminski explores the potential dangers lurking in oil markets
Battery storage to transform power market models
Technological breakthrough could rewrite the rules of power trading
Energy evolution set to reshape risk management
Technological progress expected to change the way energy is traded
Robust valuation and hedging of tolling agreements and physical assets
Flexible, martingale duality-based method provides reliable valuation
With-profits models lack sophistication, survey shows
Towers Watson survey reveals over half of insurers do not project risk appetite
Innovative, independent, integrated market approach
Sponsored video: Societe Generale
Cutting Edge intro: maths versus machine
Banks can use maths - rather than special chips - to boost computing speed