Risk
Actionable data breach insights from op risk modelling
Thomas Lee, chief executive at VivoSecurity, and Martin Liljeblad, operational risk manager at MUFG Americas, examine how a data breach cost model can replace an advanced measurement approach in a structured scenario
The predictability implied by consumption-based asset-pricing models: a review of the theory and empirical evidence
This paper examines whether two well-known models, Campbell and Cochrane’s habit model and Bansal and Yaron’s long-run risks model, can produce significant return predictability.
Neil Dodgson on artificial intelligence
Sponsored video: Neil Dodgson, IBM Watson Financial Services
G-Sib swap portfolios reveal transatlantic divide
EU banks record 16% fall in non-cleared swaps, while US dealers see 9% growth
BoE: UK banks falling short on stress-test model risk
Recent guidance on stress-test models could be expanded, says BoE exec
ALM and liquidity risk reporting greatly enhanced by big data applications
Sponsored video: Luis Mataias, IBM Watson Financial Services
Five US banks below Collins floor
Morgan Stanley, JP Morgan, Citigroup, State Street and Wells Fargo had higher standardised RWAs than modelled RWAs
The changing face of European power trading
Webinar: FIS
Rethinking XVA sensitivities – Making them universally achievable
Content provided by IBM
Risk management on course to move beyond cost centre
Video Q&A: Neil Dodgson, IBM Watson Financial Services
Regulatory and economic pressures argue for banks to embrace new approaches to technology
Video Q&A: Neil Dodgson, IBM Watson Financial Services
Facing down complexity – Creating a global framework for compliance
TMF Group discusses how in‑house general counsels can help Asia-Pacific‑based organisations navigate an increasingly complex regulatory landscape by creating a global subsidiary compliance strategy that also addresses regional needs
Impact of D-vine structure on risk estimation
In this paper, a sensitivity analysis using pair–copula decomposition of multivariate dependency models is performed on estimates of value-at-risk (VaR) and conditional value-at-risk (CVaR).
UniCredit sheds €10.5 billion in toxic loans
Net write-downs on all loans fell to €496 million in the quarter, down from €835 million in December, an improvement of 40%, as a result of improved asset quality
Smoothing algorithms by constrained maximum likelihood: methodologies and implementations for Comprehensive Capital Analysis and Review stress testing and International Financial Reporting Standard 9 expected credit loss estimation
In this paper, the author proposes smoothing algorithms that are based on constrained maximum likelihood for rating-level PD and for rating migration probability.
NAB model change boosts mortgage RWAs
Residential mortgage RWAs leap A$10.6 billion
Credit Suisse bolsters liquidity buffers
LCR reinforced in response to choppy markets
BP net derivative assets top $1.5 billion
Hedging instruments fair values rise while oil prices surge
Sponsored video: Bethanie Castelnuovo, SCB
Bethanie Castelnuovo, chief financial officer at SCB, gives her reaction to SCB’s wins at the Energy Risk Commodity Rankings 2018 and her thoughts on the organisation's business outlook.
UBS liquidity coverage ratio shrinks after regulatory change
The rule change led to higher net cash outflows at the bank, which jumped 5.5% to Sfr135 billion in March
Credit Suisse sheds $11bn in op risk RWAs
Regulator allowed Swiss bank to cut op risk exposure from defunct business
Santander reaps capital benefit with close of toxic asset sale
The bank aims to have CET1 above 11% by end-2018
UBS warns of 6% increase in credit RWAs in 2018
The bank's credit RWAs continue upward trend