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Rabobank cuts back on ECL overlays

Improved backtesting performance reduces add-ons to allowances to lowest in five years

Ifrs 9Nternational financial reporting standards ifrsCredit riskLoan loss reservesModel calibrationModel riskIsk quantum

BoE model risk rule may drive real-time monitoring of AI

New rule requires banks to rerun performance tests on models that recalibrate dynamically

United kingdomKeith garbuttNadia bouzebraKarolos korkasDavid asermelyAndrew mackayOffice of the comptroller currencyFederal reserveBoe prudential regulation authorityDeutsche bankPrudential regulation authorityRod hardcastleBank of england boePrudential regulation authority praDeutsche bankNited kingdom uk

Margin for non-cleared European energy trades to jump 80%

Annual recalibration of Simm could catapult some energy firms over relief thresholds

International swaps and derivatives association isdaInitial marginMargin modelsIsda simmNon cleared tradesBilateral tradeCommodity derivativesEnergy derivativesModel calibration

4G/5G RAN Planning| NETSCOUT

Watch this demo and learn why RF Propagation Model Calibration is a critical part of the RAN design and planning process.

Radio access networksModel calibrationDynamic range compensationModeling importantAccess networksGeographic information systemsSignal to noise ratioMillimeter waveMath loss

Deep calibration of the quadratic rough Heston model

Rough vol models are calibrated and fitted to SPX and Vix smiles

Abi jaber elAbi jaberMonte carloMathieu rosenbaumJianfei zhangGatheral jacquierJaber elRough volatilityEston processUlti factor modelModel calibrationImplied volatilityVolatility smileDeep learningCutting edge

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