Risk Insights Resource Center
Displaying 39 results
Rising Waters: Navigating the Future of Flood Risk and Insurance
December 6, 2024
Floods in the U.S. have increased in severity, frequency and volatility. How is this impacting homeowners, insurers, lenders and asset managers with ...
Statistical Hypothesis Skepticism: Implications for Credit Risk
November 27, 2024
Despite recent criticism of null hypothesis testing in the scientific community, credit risk modelers continue to use statistical measurement tools, ...
Charting the Future of Consumer Credit Risk
November 8, 2024
Credit risk managers who want to get ahead of the curve must understand the areas of consumer credit that are of the greatest concern in 2025. What ...
The ECB’s Paper on Novel Risks and IFRS 9 Overlays: A Missed Opportunity
September 13, 2024
Forecasting loan loss provisions for emerging risks under the IFRS 9 accounting standard is an important and extremely challenging task. The European ...
How Would You Like Your Model-Based Financial Disclosures?
August 16, 2024
Disclosures from credit-loss models can divulge vital data about the key risks facing a financial institution. Today’s scenarios-heavy IFRS 9 and ...
Credit Modeling: How to Improve Discriminatory Power
August 2, 2024
Predicting defaults is a difficult challenge for risk managers, partly because credit risk models often lack adequate discriminatory power. Some ...
The Rise of Conjectural Risk Management
May 17, 2024
Today, stress testing forecasts and ECL calculations are heavily reliant on guesswork scenarios that largely forego empirical data. How has scenario ...
A Modest Suggestion to Improve Stress Testing
April 26, 2024
The current process for ensuring that banks have enough capital to cover their potential losses is too reliant on conditional scenario analysis. ...
The Budget Brain-Teaser: How to Optimize Capital
April 19, 2024
Markets can evolve rapidly, sometimes driven by unprecedented events, and financial institutions therefore cannot over-rely on historical data for ...
When Insurance Becomes a Risk Factor
April 5, 2024
Insurance products can help mitigate and properly distribute risks, but also often come with perverse incentives that can work against risk managers. ...
The Data Conundrum for Risk Modelers
March 28, 2024
Understanding the Difference: Forecasts, scenario projections, and model outputs aren't raw data; they carry inherent errors and biases. Risk ...
The CRR3 Output Floor: A Strange Backstop for Credit Risk Measurement
March 22, 2024
Basel 3.1 has a so-called output floor that places strict limits on the amount of benefits a bank can gain from using internal models to meet ...
Stress Testing in 2024: Analyzing the Fed’s Newly Released Scenarios
March 1, 2024
The Federal Reserve this year requires banks to consider exploratory scenarios that factor in deposit runs and funding liquidity problems, among ...
Will Increased Complexity Save Scenario Analysis?
December 8, 2023
Banks are now under pressure to deploy more explanatory scenarios that expand the range of tail risks they consider. The hope is that this approach ...
Can Banks Reliably Estimate Credit Losses?
November 10, 2023
Financial institutions have improved their ability to forecast losses thanks to better models, impactful regulations and voluminous, higher-quality ...
Should Internal Bank Models Be Used for Capital?
September 22, 2023
Large U.S. banks may be forced to employ standardized, regulator-driven models to calculate capital in the future. But, for a variety of reasons, ...
How Generative AI Will Disrupt Credit Risk Modeling
September 1, 2023
Improved coding of PD, LGD and EAD models is one of the potential benefits of this innovative technology. How does this work, and what else can ...
Exhaustive Scenario Analysis: What Banks Can Learn From the Airline Industry’s Flight Simulations
August 25, 2023
Flying is hundreds of times safer than driving, thanks at least partly to comprehensive simulations performed by airline pilots. Banks that want to ...
Traditional vs. Fixed Analysis: Weighing the Pros and Cons of An Alternative Approach to Scenario Design
August 4, 2023
For decades, to better manage uncertainty and make more accurate forecasts of losses, financial institutions have relied on a multi-scenario strategy ...
Foundation IRB: An Inferior Option for Credit Risk Modeling?
June 16, 2023
For certain asset classes, Basel III prohibits the use of the advanced IRB approach for credit risk measurement, favoring instead a foundation ...
Risk Modeling: What Can We Learn from the Rigor of Academics?
May 26, 2023
Financial risk models have repeatedly been found wanting over the past few years, partly because model developers are limited by regulations. But ...
Agile Approaches for Credit Risk Modeling: Curse or Blessing?
May 19, 2023
Today, agile model development methodologies are becoming increasingly popular. What are the advantages and pitfalls of these approaches when ...
Stress Testing and Scenario Analysis: The Customization Challenge
April 28, 2023
Recent bank defaults have proved that “one size fits all” regulatory stress tests do not work. Are there practical ways of individualizing prescribed ...
SVB and Signature Bank: Risk Management Revelations
April 6, 2023
Recent bank collapses can be traced to their narrow-minded approach to stress testing and scenario analysis. What exactly went wrong at these ...
Measuring and Modeling Residential Real Estate Risk in Unprecedented Times
March 3, 2023
Risk modelers in the mortgage industry now face significant obstacles, thanks in part to rising interest rates, high inflation, stagnant growth and a ...
How to Model Forward-Looking Credit Risk
January 27, 2023
During uncertain times, the traditional approach for estimating expected credit losses simply doesn’t work. However, while forecasting ECL is a ...
Tail Risk: How to Incorporate Extreme Events into Financial Risk Modeling
October 28, 2022
Hear from Prof. Clifford Rossi as we examine some of today’s biggest financial risk modeling challenges. Risk modelers have recently been befuddled ...
Model Validation: Dissecting the Boundaries of a Rules-Based World
September 9, 2022
The European Banking Authority is seeking feedback from regional supervisors and banks about a handbook it has created for validation of IRB models ...
Economic Capital: The Power of Diversification
August 12, 2022
As we speed toward the January 2023 deadline for Basel III implementation, the calculation of economic capital has become more important than ever. ...
Model Validation for Credit Risk: A Critical Deficiency in the Jeffreys Test
May 13, 2022
IFRS 9 and Probability of Default
January 14, 2022
Loss allowances for expected credit losses differ significantly across European banks. The University of Innsbruck’s Matthias Bank and Bernhard Eder ...
The Effects of the Adoption of IFRS 9
April 29, 2021
How does this accounting standard impact the predictability of credit losses across European banks? Christophe Lejard, Eric Paget-Blanc and ...
COVID-19: CECL, Stress Testing and Overall Credit Risk Impact
May 11, 2020
To help risk managers stay informed of the latest developments and address the challenges associated with COVID-19, GARP has launched a podcast ...
Calculating Credit Risk: The COVID – 19 Factor
May 4, 2020
COVID-19 is having a dramatic impact on the nature of market, credit, financial, and operational risks facing companies. Information about these ...
An Update on CECL
November 14, 2019
Today, we speak again with David Anderson, Advisory Director from KPMG, for an update on Current Expected Credit Losses, also known as CECL. For more ...
Credit Risk Modeling and Decisioning
September 3, 2019
Today we speak with Vikas Deep Sharma, Executive Director, EY and Ivy Tan, EY Senior Manager, specializing in IFRS 9 and Credit Risk for the ...
What IFRS17 Means for You
May 29, 2019
GARP's new podcast with SAS, The New Age of Risk Analytics, features an episode focusing on the new insurance accounting standard, IFRS 17, which may ...
What IFRS17 Means for You
April 9, 2019
The new insurance accounting standard, IFRS 17, has broader implications then might be realized. David Anderson, Advisory Director, Risk Consulting ...