Risk Journals
CECL models may leave banks ill-prepared for next downturn
Mortgage backtest study shows some loan-loss models miss the mark
VAR lookbacks should shift dynamically, research suggests
Change-point analysis method helps identify regime shifts in equities markets, quants claim
Most active CDS users get biggest savings – research
CFTC economists see benefits to having many counterparties since move to Sef trading
Resampling ‘slashes’ credit risk VAR underestimates
Academics claim Vasicek model’s underestimation tendency can be slashed to near-zero
CCP margin buffers too big, research suggests
Procyclicality calculations should depend on expected spikes in volatility, argue Ice risk experts
Search engine study shows limits of alternative data
Google Trends adds nothing to volatility predictions, researchers find
Fire sales turn a crash into a crisis, simulation shows
‘More realistic’ core-periphery model leads to wipeout of network if several nodal banks default
Models need longer datasets to handle economic cycles – research
Decades, not years, of credit losses required for accurate risk modelling, argues expert
Quants propose new method of calculating op risk VAR
So-called ‘incremental value-at-risk’ offers future snapshot of op risk exposure, authors say
Modelling cyber losses could get easier – study
Cyber losses behaved much like non-cyber losses when grouped by severity, so perhaps less data is needed
Cyber modelling masks scale of potential losses, study finds
Different statistical approaches produce big variations in future loss estimates, says Esma researcher
Common validation techniques for risk proxies found wanting
Research finds two out of three methods for checking index prices as proxies don’t properly gauge tail risk
Study floats idea of breaking up CCP services
Proposal includes explicit public backstop for key functions and private provision of other services
Small banks in China carry outsized risk – research
Study shows systemic risk of smaller banks snowballs during stress periods
Modelling interrelated shocks will improve stress tests – research
Call for regulators to ditch standard scenarios for more sensitive approach
CVA study highlights scale and causes of wrong-way risk
Researchers advise including correlations both with rate level and volatility in CVA calculations
VAR restrictions ‘will hit returns’ for sophisticated traders
VAR cap can be even more constraining than a short-selling ban, researchers find
Competing against Sifis ‘leads to higher risks’
But research finds weaker implied sovereign support reduces impact on non-Sifi competitors
Lower margin can fuel procyclicality in CCPs – research
Efforts to prevent ‘margin spiral’ during stress could encourage more risk-taking, paper argues
‘Cover 2’ CCP reserve standard inadequate – study
Stress tests underestimate how twin member failure affects clearing house stability
Improved credit loss estimates proposed for IFRS 9
New smoothing technique claims to overcome flaws in risk rating scales