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Synthetic Data: the Risk Manager’s New Gold, and How to Mine It
Like animal-friendly faux fur coats, synthetic data is manufactured – artificially created rather than resulting from actual events. It’s having a moment. Thanks to the failings of historical data…
Machine learning for strategic decision-making
How can you use machine learning for Strategic Decision Making in finance? This was the subject of Straterix CEO Alla Gil’s case study lecture at the 3rd Annual Machine Learning…
Risky Driving
Pre-pandemic, life was pretty simple: work was from an office, pajamas were for bedtime, and revenue projections of financial institutions and corporations were fairly predictable. But now history has…
Risk management in a sea of unknown unknowns
“There are known knowns…[and] known unknowns. But there are also unknown unknowns.” Donald Rumsfeld was referring to Iraq and WMDS, but the last part of that quote, about the…
Come with me if you want to remain solvent
The Terminator movie franchise left us with many memorable quotes, but the one from the unborn John Conner, relaed by the hero, Kyle Reese, in the 1984 original, is perhaps the…
The art of the probable
On the surface, there’s a singular purpose behind the introduction of stress testing: ensure that the next unprecedented crisis doesn’t cause banks to blow up like they did in…
Credit-Loss Forecasting: A Practical Guide to CECL
The COVID-19 crisis found most financial models wanting. In response, modelers panicked: what models, and how many of them, were now needed to cope with the “new normal”? Adding more…
Post COVID-19 Scenario Planning lecture
The coronavirus pandemic continues to rage globally. Vaccination campaigns have injected some much needed optimism, but they’ve also prompted thoughts to turn to what happens next. This is especially…
Cyborg model validation
Like the Titanic being unsinkable, banks’ models were meant to be unbreakable – able to withstand any scenario. They’d been perfectly validated, yet in the face of COVID-19, they…
Status Update: Funded
Pensions have never been especially exciting. Usually, it takes a crisis, like a company collapsing and retirees being deprived of their dues, for a pension fund to make the…
Risky business: why existing models don’t work
“Prediction,” said the Danish physicist, Niels Bohr, “is very difficult, especially if it’s about the future.” Within these pages, we’ve discussed the impossibility of specifically predicting the pandemic, along with the…
Putting Stress Tests in the Blender
We’re delighted to share that our CEO, Alla Gil, is the new FRM Corner columnist at the Global Association of Risk Professionals (GARP). Her first piece is out now….