Probability
Backtesting correlated quantities
A technique to decorrelate samples and reach higher discriminatory power is presented
Joint S&P 500/VIX smile calibration in discrete and continuous time
An arbitrage-free model for exotic options that captures smiles and futures is presented
Operational risk: a global examination based on bibliometric analysis
The authors quantitively assess the quality of research on operational risk and find that research in this area has grown in popularity in recent years.
IRB risk-weights highest at smallest EU banks – ECB
Lenders with less than €30 billion in assets consistently report lower risk densities than bigger banks across all modelled portfolios
EU banks add overlays as crises evade modelling
Lenders buttress provisions against unpredictable fallout from Russia's invasion of Ukraine
Nationwide’s IRB charges up 89% on PRA’s parameter curbs
The building society’s strict focus on mortgages meant impact was all-sweeping
New model simplifies loan-loss forecasts. Some say it’s too simple
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
Building resilience into ESG risk management
Risk and resilience continue to play an important role in the navigation of an increasingly uncertain world. Fusion Risk Management explores why it is equally crucial for technology to support organisations in addressing pertinent environmental, social…
Operational resilience: charting evolution, strengthening impact
Arming a business in preparation for robust operational resilience measures is not a one-step solution – it continues to evolve. The key to strengthening defences against all events – especially the unlikely but plausible – is to build business agility…
Regions deploys early-warning tool for credit risk
Risk USA: system alerted US superregional to impending defaults during Covid crisis
Why the US election fallout was not a surprise to banks
A contested result was unexpected, but scenario planning meant banks weren’t unprepared
Ratings can still sharpen credit risk picture
Study shows even the most modern default models benefit from adding credit rating information
Consumer credit modelling software of the year – SAS
Risk Technology Awards 2020
Sometimes it’s fine to be boring
Diversification puts portfolios in the middle of the pack – where investors feel safe, writes Antonia Lim
Covid-19: Pandemic risk – Special report 2020
The economic devastation wrought by Covid-19 is already significant: the hits to employment, gross domestic product and other key macro factors regulators ask banks to test to has already surpassed supervisors’ severely adverse scenarios, and shows every…
Why credit risk managers need to see around corners
The Covid‑19 pandemic – and the subsequent extreme volatility – has exposed the fragility of long-established market and supply chain systems, affecting borrowers’ ability to repay debt. David Croen, global head of credit risk products at Bloomberg,…
Two-factor Black-Karasinski pricing kernel
Analytic formulas for bond prices and forward rates are derived by expanding existing rate models
Q&A: Ron Dembo on crowd-spotting black swans
Veteran quant argues large groups are better at gauging extreme uncertainty than small teams of experts
Cat risk: why forecasting climate change is a disaster
Forecasters are poles apart on climate-driven catastrophes; insurers fear worse ahead
Stress-testing to improve strategic decision‑making
Banking regulators remain focused on expanding and developing the range of stress-testing regimes across the globe to maintain stability, monitor emerging risks and avoid another financial crisis. Here, a forum of industry leaders discusses the evolution…