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This is the third of three posts on the topic of Models. In the first, I argued that common usage of the word "model" is too narrow, and defined a Model as: Model: The set of modelling assumptions required for a valuation. In the second, I made this idea more concrete, describing what you should expect from a Model implementation and giving some example Models. In this post, I'm going to throw

FINCAD recently participated in the 2-day Risk & Return Conference in Capetown. Jan Rosenszweig, Quant Lead at FINCAD, presented on “Managing and Controlling Model Risk” to a full breakout room attended by representatives of the South African asset management and banking community. Dozens of existing FINCAD customers attended as Day One began with a focus on South Africa in a keynote address given

During FINCAD’s Best Practices in Stress Testing webinar on March 12, 2014, Medy Agami of CELENT’s Finance and Risk Practice discussed challenges, best practices, and innovation in stress testing. One-size-fits-all fits no oneAccording to Medy Agami, the biggest challenge facing the industry is regulators’ one-size-fits-all approach to stress testing. Overcoming this approach requires market

Early February saw the European Banking Authority announce key features of the 2014 EU-wide stress test to be implemented on a sample of 124 EU banks. The recommendations include the use of unique identification codes for supervisory purposes for every bank and financial institution in the EU. From the summer of 2014 onward, national regulators will be required to submit data to the EBA on this

The European Commission and US CFTC claim to have agreed on a common approach for swaps contracts so that there can be a greater uptake of trade on electronic platforms to aid transparency and minimize risk. With credit default swaps and interest swaps at the heart of the matter for the 2007-09 financial crisis, implementation of double compliance for banks and businesses have increased the option