This document discusses testing and validating stochastic economic scenarios. It covers:
1) Using economic scenario generators (ESGs) to generate scenarios for variables like interest rates, equities, and credit spreads for purposes like valuation and risk analysis.
2) Formulating calibration assumptions, which involves calibrating models to market data while addressing data limitations.
3) Validating scenario sets through analyses like no-arbitrage tests, market consistency checks, and assessing distributional features to ensure scenarios are reasonable.
CH&Cie - Fundamental Review of the Trading BookC Louiza
Arbitrage opportunity Banking book vs Trading book • The classification of assets between the banking book and trading book was unclear allowing arbitrage opportunity for RWA
Overview of the Basel Committee's revised "Minimum capital requirements for market risk" (formerly FRTB), with notes and tips for technical implementation.
There are plenty of concepts around identifying unfavorable financial market phases in order to early detect market crises. Just to name a few: Volatility, VaR/CVaR, Turbulence Indicators, Log Periodic Power Law Singularity, Sentiment Indices...and many, many more.
Even when these concepts are properly back-tested with historical time-series, we often have to conclude that there are several shortcomings in practice like: Lag, missing precision, missing exits and entries.
We suggest considering newer technologies, which are more mathematically advanced and nowadays available due to the abundance of computational capacity.
Counterparty Credit Risk | Evolution of
the standardised approach to determine the EAD of counterparties
This article focuses on Counterparty Credit Risk. The topic of this article is on the evolution and need of standardised method for the assessment of Exposure at Default of counterparties and their Capitalisation under regulatory requirements.
CH&Cie - Fundamental Review of the Trading BookC Louiza
Arbitrage opportunity Banking book vs Trading book • The classification of assets between the banking book and trading book was unclear allowing arbitrage opportunity for RWA
Overview of the Basel Committee's revised "Minimum capital requirements for market risk" (formerly FRTB), with notes and tips for technical implementation.
There are plenty of concepts around identifying unfavorable financial market phases in order to early detect market crises. Just to name a few: Volatility, VaR/CVaR, Turbulence Indicators, Log Periodic Power Law Singularity, Sentiment Indices...and many, many more.
Even when these concepts are properly back-tested with historical time-series, we often have to conclude that there are several shortcomings in practice like: Lag, missing precision, missing exits and entries.
We suggest considering newer technologies, which are more mathematically advanced and nowadays available due to the abundance of computational capacity.
Counterparty Credit Risk | Evolution of
the standardised approach to determine the EAD of counterparties
This article focuses on Counterparty Credit Risk. The topic of this article is on the evolution and need of standardised method for the assessment of Exposure at Default of counterparties and their Capitalisation under regulatory requirements.
Solving the FRTB Challenge: Why You Should Consider an Aggregation SolutionFIS
Many banks face multiple challenges around market risk, with outdated infrastructure, fragmented systems, and inflexible reporting tools. And now FRTB raises the stakes. The Fundamental Review of the Trading Book is the biggest change in market risk rules that we’ve seen in a generation.
The answer to the FRTB challenge is a centralized aggregation solution that allows you to source required prices from one or more front-office and risk engines, perform bank-wide FRTB calculations using those inputs, and combine the results with intermediate data and expose inputs via reporting and analysis tools.
View our slideshow to learn more about aggregation challenges and why you should consider an external solution.
The LCH CME swap basis another consequence of regulatory pressuresSubbu Loganathan
The various regulatory pressures on swap market intermediaries might have contributed to inefficiencies in the centrally cleared Swap market, creating a basis spread between the hedging the same interest rate risk between the LCH and CME
Opportunity for you all !
Become Associates With Real estate Professionals & earn more , Give booking / reference , Get best services & assured payment ..
We deals with all Major Brand real estate Brand in Noida,,Gzb, Like Ace Group, Logix Group, Mahagun, Supertech, Gaur City, Mascot Patel, Galaxy Diamond, IDI Group, Spectrum@metro Sec- 75 noida, Noida World One Sec- 90 Noida, Golf City Sec- 75 Noida, And much more.....
Regards
investors orbit
9999394297
www.investorsorbit.com
Mi trabajo se trato principalmente, de como saber utilizar todas las herramientas que nos brinda la tecnología. claramente, llevando bajo nuestra responsabilidad las consecuencias de nuestros malos actos.
Solving the FRTB Challenge: Why You Should Consider an Aggregation SolutionFIS
Many banks face multiple challenges around market risk, with outdated infrastructure, fragmented systems, and inflexible reporting tools. And now FRTB raises the stakes. The Fundamental Review of the Trading Book is the biggest change in market risk rules that we’ve seen in a generation.
The answer to the FRTB challenge is a centralized aggregation solution that allows you to source required prices from one or more front-office and risk engines, perform bank-wide FRTB calculations using those inputs, and combine the results with intermediate data and expose inputs via reporting and analysis tools.
View our slideshow to learn more about aggregation challenges and why you should consider an external solution.
The LCH CME swap basis another consequence of regulatory pressuresSubbu Loganathan
The various regulatory pressures on swap market intermediaries might have contributed to inefficiencies in the centrally cleared Swap market, creating a basis spread between the hedging the same interest rate risk between the LCH and CME
Opportunity for you all !
Become Associates With Real estate Professionals & earn more , Give booking / reference , Get best services & assured payment ..
We deals with all Major Brand real estate Brand in Noida,,Gzb, Like Ace Group, Logix Group, Mahagun, Supertech, Gaur City, Mascot Patel, Galaxy Diamond, IDI Group, Spectrum@metro Sec- 75 noida, Noida World One Sec- 90 Noida, Golf City Sec- 75 Noida, And much more.....
Regards
investors orbit
9999394297
www.investorsorbit.com
Mi trabajo se trato principalmente, de como saber utilizar todas las herramientas que nos brinda la tecnología. claramente, llevando bajo nuestra responsabilidad las consecuencias de nuestros malos actos.
eprentise How Automation will Transform Your Financial Auditeprentise
Automation continues to transform whole industries – and finance and audit are no exception. Specific to the financial audit, most of the high-volume, routine, non-judgmental activities in real time are being transformed by software, leaving audit professionals more time to do what they do best: analyze results and make expert judgement calls. This webinar focuses on the framework and standards under which audits are currently conducted, and will showcase real-world examples where automation streamlines workflows to transform the entire audit process.
Corporate Finance Modeling for Investment AnalysisRob Trippe
210+ page comprehensive body of knowledge on financial model development and conceptual techniques for investment analysis and corporate financial planning. Available as hard copy and as an extended live, in-class corporate seminar. It's all you need to know for great corporate financial model development and implementation. Live examples, case studies and Q&A included.
Building Blocks for Loan Portfolio Stress TestingLibby Bierman
Banks and credit unions that perform loan portfolio stress tests likely have a better understanding of credit risk that may reside in the portfolio within different concentrations. In this presentation, find out how to begin stress testing loans and the portfolio.
Discounted Cash Flow Methodology for Banks and Credit UnionsLibby Bierman
As institutions prepare for the CECL or current expected credit loss model for the allowance for loan and lease losses (ALLL), institutions are prudently learning the various methodologies available to them. Discounted Cash Flow or DCF is one proposed methodology. This session presents best practices and use cases for the ALLL methodology. See the recording: http://web.sageworks.com/dcf-webinar/
Short term possabilities for eKYC improvmentsRonny Khan
When exiting the first wave of Covid-19 it is crucial to leverage the options we have to digitalize what we can. This is really a case that makes huge sense in the normal sense and really, really should be executed on immediately.
Short term possabilities for eKYC improvmentsRonny Khan
When exiting the first wave of Covid-19 it is crucial to leverage the options we have to digitalize what we can. This is really a case that makes huge sense in the normal sense and really, really should be executed on immediately.
Sageworks and Crowe Horwath detail the supervisory guidance on model validation (OCC 2011-12, SR 11-7) and how it applies to models utilized to estimate the ALLL. They also cover the three main components:
Evaluation of conceptual soundness, Ongoing monitoring and process verification and Outcome analysis: backtesting, benchmarking and sensitivity analysis.
IFRS (International Financial Reporting Standards) 9 is not just an accounting standard, but a game-changer. In today’s capital constrained environment, the increased volatility of P&L and that of associated regulatory capital are likely to have a profound impact across the stakeholder community. This presentation provides an overview of our assistance themes. If you are project sponsor or a stakeholder, please feel free to organize a call with us to discuss how Nexx can assist you.
Citihub Consulting is a global, independent IT advisory firm with deep domain expertise across every layer of the technology stack - from business applications and data platforms down to core infrastructure.
Proven Techniques for Optimizing Your Financial Planning & Analysis ProcessProformative, Inc.
In this session, you will learn best practices for optimizing the planning process including how to adopt a driver-based model, efficiently manage rolling forecasts, embrace “what if” scenario modeling and provide more meaningful reporting and analysis to impact decision making. You will gain insights from comprehensive industry research recently conducted with hundreds of financial professionals around the world in order to understand key industry trends and best practices that are working for leading edge organizations today. In addition to the research, subject matter experts will share numerous practical steps for improving performance management processes in your organization. You will come away with real-world methodologies to help you improve and shorten your budgeting process and will also enable better decision making and organizational alignment that will help you to optimize performance.
Speaker: Tony Ard, Director of Solutions Engineering, Axiom EPM
Presentation delivered at ProformaTECH 2014 - http://www.proformatech.com
Track: Operational Advantage | Session: 5
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