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“Validation is much more than a mathematical exercise”

An interview with Martijn Habing (ABN AMRO)

The risk models that banks use are validated by model risk managers. It is their role to determine whether all risks facing the bank have been properly identified. Martijn Habing, head of Model Risk Management (MoRM) at ABN AMRO bank, spoke earlier this year at the Zanders Risk Management Seminar about the extent to which a model can predict the impact of an event. After the seminar, we wanted to hear more about MoRM at ABN AMRO.

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IBOR Reform in Switzerland: Transition from CHF LIBOR to SARON – part 1

The Financial Conduct Authority (FCA) will stop supporting LIBOR from the end of 2021, while more than 80% of CHF loans are currently priced based on the CHF LIBOR. According to the Swiss National Working Group, the Swiss Average Rate Overnight (SARON) is the proposed replacement standard. The transition period poses a number of different challenges for the market.

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Are more complex models always better?

A part of the curriculum of the Econometrics & Mathematical Economics master’s degree given in the VU University Amsterdam is the course Time Series Econometrics. In this course, students are taught how to analyze time series with the aid of ‘state-space models’, on the assumption that observations over time (such as the content of the Nile, for example) are driven by non-observed factors.

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A new standard in the Dutch mortgage market

During the past few years, the Dutch mortgage market has changed. Although their name suggests otherwise, fixed rate mortgages are nowadays anything but fixed.

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Quantification of model risk

Risk management and treasury specialists are using diverse models on a daily basis to manage various risks. It is easy to forget about the risk that is implied in using the model itself. What we refer to as ‘model risk’ can arise due to misuse of the model, incorrect model choices or inappropriate model use.

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