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Zanders Model Risk Framework

As automation and digitalization are adopted more widely in the financial industry, the number of financial models used is also steadily growing. As a result, an institution’s success or failure depends increasingly on the accuracy and reliability of those models.

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New Swiss standard on interest-rate risk in the banking book (IRRBB)

One of the most fundamental drivers for a retail bank’s net interest income is inherent in the bank’s balance sheet structure and is related to the fact that assets and liabilities do not have similar maturities.

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Scenario Thinking and Complexity

In close cooperation with Zanders, GloComNet presents the current issues around the topic complexity in a series of six live webcasts.

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Zanders IRRBB Quick Scan

In April 2016, the Basel Committee on Banking Supervision (BCBS) issued the final standard on Interest Rate Risk in the Banking Book (IRRBB). In this standard, which will be the basis for new EBA guidelines, the BCBS recognizes that IRRBB is best captured in Pillar II due to the heterogeneous nature of IRRBB among banks.

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The difference between risk and uncertainty

The FAUC assessment

The world is complex and the future uncertain. What does that mean for the existing models on which we base our expectations? For Prof. Lex Hoogduin, professor of complexity and uncertainty in financial markets and financial institutions and Chairman of LCH Clearnet, it was a reason to set up the Global Complexity Network (GloComNet), an open platform focusing on how to deal effectively with ‘complexity and uncertainty’. Zanders joined last year and together we developed the Framework for Acting under Uncertainty and Complexity (FAUC).

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