Modelling
Deposit repricing shifts Zions’ IRR outlook
The bank reckons high pass-through of Fed hikes means its rate-shock exposure is lower than under standard modelling
Wholesale credit modelling software of the year: Moody’s Analytics
Moody’s Analytics has won Wholesale credit modelling software of the year at the Risk Technology Awards 2023 thanks to its excellent credit scoring models and solutions that address the diverse requirements of the wholesale market
Sizing cyber: banks split on who owns and measures hack threats
G-Sibs split on risk modelling and management for IT disruption and infosec
Op Risk Benchmarking: Inside the G-Sibs
New initiative scrutinises op risk measurement and management practices at the world’s largest banks
US banks’ stress-test projections stray further from Fed’s in 2023
Average gap between Fed- and bank-estimated depletions more than double from previous two DFASTs
Five banks lowballed loan losses in latest DFAST
Banks project $23bn smaller hit to loan portfolios, with Wells Fargo and Citi the most off-target
Climate risk models and metrics: what works and what doesn’t?
Panellists at Risk Live Europe 2023 discussed what has been achieved so far in climate risk stress-testing and modelling, alongside what needs tackling next
NSCC member received record $42bn cash call in Q1
Largest payment obligation was 22% larger than previous quarter
The factor Heath-Jarrow-Morton term structure
A framework for rates that links real-world and risk-neutral measures is presented
Liquidity risk hits record high at CME
Heightened market volatility in Q1 pushes F&O’s worst-case payment obligation up 13%
Risk managers mull Basel-style climate standards
Risk Live: Splintered approach to stress-testing across jurisdictions “very, very worrying”, says risk expert
FICC’s liquidity pool $3.8bn short of payment obligation
Clearing unit for MBSs incurred first shortfall on record in January
Risk modellers navigate fearful new world of depositor behaviour
Silicon Valley Bank suffered fastest bank run in history, but how should others respond?
Instabilities in Cox proportional hazards models in credit risk
The authors explore possible instabilities in applying Cox PH models and conduct numerical studies to demonstrate the same linear specification error from APC models an occur in Cox PH estimation.
How banks can avoid bad haircuts on hedge fund trades
HSBC quant makes case for looking at collateral and funding rates in concert
Value-at-risk models: a systematic review of the literature
The authors conduct a systematic literature review of value-at-risk models to determine which models are most often used and whether any change in model popularity occurred after the 2007-9 financial crisis.
US insurance regulators move to kill CLO arbitrage
Capital charges on collateralised loan obligations will be model-based after 2024
Swedbank takes $3.47bn RWA hit from credit model overhaul
Rejig of IRB models is expected to reduce the bank’s Pillar 2 requirement
Finma cools off UBS’s VAR model overhaul
Estimated $1.3bn RWA benefit temporarily offset by regulatory add-on
Wanted: radical ideas for inflation modelling
Hedge funds echo Mervyn King’s calls for a new approach to inflation modelling post-2022 crisis
Best modelling innovation: CompatibL
CompatibL wins the Best modelling innovation award for the second year running, this time for creating a new type of interest rate model based on autoencoders
BNY Mellon, Goldman join Citi in escaping Collins floor
Outpaced drop in standardised RWAs pushes banks above threshold – but custodian only bank to reap benefits
EU G-Sibs outpace non-systemic peers on Level 3 asset growth
Increase in mark-to-model holdings threatens to inflate too-big-to-fail lenders’ systemic profile