Risk Model

7 posts

Reducing variation in credit risk-weighted assets – The benign and vicious cycles of internal risk models

Reducing variation in credit risk-weighted assets – The benign and vicious cycles of internal risk models March 2016 wasn’t a good month for so called “internal risk models”, the quantitative tools constructed by banks for determining such vital numbers as how much buffer capital is needed to protect the savings […]

Top 10 Reasons why Silicon Valley cannot disrupt Wall Street (yet)

Top 10 Reasons why Silicon Valley cannot disrupt Wall Street (yet) This is the 2016 update on our independent critical examination of the running meme of “fintech disruption” in the financial services space. The “Top Ten list of why Silicon Valley cannot Disrupt Wall Street (yet)” was published first here […]

Open Risk Commentary on Simple Securitisations

Criteria for identifying simple, transparent and comparable securitisations (BIS D304) Our view is that securitisation is fundamental financial technology and there is no intrinsic technical reason why it could not be harnessed to best serve the functioning of modern economies. We believe, though, that a comprehensive overhaul of historical securitisation […]

Benchmarking and the future use of internal capital models

The rationale for continuing with internal capital models in the Basel 3 world Overview of the challenges and opportunities offered by internal capital models (economic capital models) in the post-crisis era. Conference Presentation given at: Venue: 2nd Annual Capital Modelling under Basel III (Marcus Evans Conference) Location: London Time: January […]