Modelling
BNY Mellon incurred a VAR breach in Q2
The highest losses-to-VAR ratio was 145.75%, in the first backtesting exception reported by the bank since 2018
NLP and transformer models for credit risk
News feeds are factored into models to predict credit events
Building forward-looking scenarios: why you’re doing it wrong
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
Show your workings: lenders push to demystify AI models
Machine learning could help with loan decisions – but only if banks can explain how it works. And that’s not easy
NatWest gets VAR model approval as transition from Libor continues
The updated model is expected to reverse a £1.5bn increase in markets RWAs next quarter
Model change cuts Barclays’ VAR 21% in H1
Reducing historical lookback period from two years to one shaves £5m off bank’s average VAR
Quants split on who wins in the alt-data gold rush
Scale helps in handling new data, but alpha may be found in niche strategies
UBS revises credit and counterparty risk estimate
Changes to the bank’s models and methodology expected to add $6bn in second half of the year
Podcast: Claudio Albanese on how bad models survive
Darwin’s theory of natural selection could help quants detect flawed models and strategies
Goldman tackles climate risk controls
Lender joins other banks in translating physical and transition threats into controls framework
Risk managers urge consolidation of climate scenarios
Converging financial and corporate scenarios would provide better data for stress-testing
Loan losses: Banks’ estimates out of sync with Fed’s
Wells Fargo worst performer in latest DFAST exercise
Nomura understated VAR capital charges by 13% in H2 2020
VAR RWAs should have been ¥122 billion higher than originally stated at end-December
How algos are helping inflation-wary investors
Buy-siders look to machine learning for clues on the effect of rising prices on portfolios
Deep XVAs and the promise of super-fast pricing
Intelligent robots can value complex derivatives in minutes rather than hours
Market’s mystery jumps might be predictable after all
Endogenous volatility has a tell-tale pattern, quants find
Banks fear Fed crackdown on AI models
Dealers say agencies’ request for info could prompt new rules that stifle model innovation
Pricing services play critical role in securities valuations under SEC rule
Pricing services face scrutiny from investment managers as the US Securities and Exchange Commission's (SEC's) new 2a-5 ‘fair value’ rule takes effect. Here, Refinitiv’s Joseph Hayek explains how pricing services should prepare for the surge in customer…
From one extreme to another: Covid upsets loan models once more
Unusual economic slumps tripped up models in 2020. Now, they are struggling with fast recoveries
Quant fund aims to tame bitcoin, and 39 other digital assets
Ex-Morgan Stanley, Winton vets reimagine institutional risk management for volatile crypto markets
Libor transition nears its end – Five topics you need to know
As the deadline to Libor cessation approaches, Liang Wu, executive director of financial engineering and head of cross-asset product management at Numerix, presents a series of market themes that warrant closer inspection
Fake data can help backtesters, up to a point
Synthetic data made with machine learning will struggle to capture the caprice of financial markets
In fake data, quants see a fix for backtesting
Traditionally quants have learnt to pick data apart. Soon they might spend more time making it up
Quant grad conveyor belt stalls as banks retrench
Jobs market is long quant graduates, short vacancies – but hiring freeze shows signs of thawing