Energy price spikes force clearing firms to consider extreme or even ‘implausible’ scenarios
Geopolitical risk models not ‘rigorous’ enough, says quant
Joseph Simonian believes game theory and reinforcement learning could improve matters
Efficient simulation of affine forward variance models
Andersen’s quadratic-exponential scheme is used for simulations of rough volatility models
Don’t follow the models: they’re lost, too – risk managers
Risk USA: managers cite Covid, repo crisis and geopolitical risks as examples of model failures
Natural language processing and transformer models for credit risk
News feeds are factored into models to predict credit events
Wells touts new explainability technique for AI credit models
Novel interpretability method could spur greater use of ReLU neural networks for credit scoring
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 …
Banks face explainability challenges for AML models
Gaps in data and potential biases need to be accounted for in smart approaches to tackling money laundering
Banks fear Fed crackdown on AI models
Dealers say agencies’ request for info could prompt new rules that stifle model innovation