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GARP Resources Archive

Displaying 39 results

Article

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 ...

Modeling
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Article

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, ...

Modeling
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Article

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 ...

Modeling
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Article

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 ...

Default | Modeling
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Article

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 ...

Modeling
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Article

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 ...

Modeling
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Article

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 ...

Default | Modeling
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Article

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. ...

Default | Modeling
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Article

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 ...

Modeling
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Article

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. ...

Modeling
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Article

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 ...

Modeling
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Article

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 ...

Modeling
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Article

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 ...

Modeling
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Article

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 ...

Modeling
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Article

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 ...

Modeling
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Article

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, ...

Modeling
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Article

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 ...

Modeling
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Article

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 ...

Modeling
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Article

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 ...

Modeling
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Article

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 ...

Modeling
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Article

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 ...

Modeling
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Article

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 ...

Modeling
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Article

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 ...

Modeling
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Article

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 ...

Modeling
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Article

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 ...

Modeling
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Article

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 ...

Modeling
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Podcast

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 ...

Modeling
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Article

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 ...

Modeling
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Article

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. ...

Modeling
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Article

Model Validation for Credit Risk: A Critical Deficiency in the Jeffreys Test

May 13, 2022

Modeling
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Article

The Pandemic Will Improve Risk Modeling – If We Let It

May 6, 2022

Modeling
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White Paper

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 ...

Modeling
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White Paper

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 ...

Modeling
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Podcast

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 ...

Modeling
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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 ...

Modeling
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Podcast

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 ...

Modeling
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Podcast

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 ...

Modeling
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Podcast

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 ...

Modeling
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Podcast

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 ...

Modeling
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