Webinar

Webcasts attended, usually given by GARP and MATLAB.


Consolidated Audit Trail

The eighth anniversary of the 2010 flash crash on May 6, 2010, is approaching, Beau Alexander reminded the audience at the webinar organized by the Global Association of Risk Professionals (GARP). Alexander is a Senior Sales Executive at FIS Global Trading, a publicly traded provider of financial services technology. The 2010 flash crash “was the second-largest intra-day swing in the stock market,” he said. That day the market lost two trillion dollars and then rebounded. “When you see volumes drop by 15 percent, there’s an activity that needs to be flushed out.” “Someone sitting in their parents’ basement had caused […]

Extracting Value from CECL 2

To meet the new for current expected credit losses (CECL) requirements, “you will need a lot of data,” said Thomas Caragher, Senior Product Manager of Financial & Risk Management Solutions at Fiserv, a US provider of financial services technology. Seven to ten years of data is not unreasonable. The payoff to massive data-gathering is that “you will be able to build strategy more effectively if you have information.” But what to do with the reams of data? First, you have to make some sense of it. “Start by correlating the data,” he said. Oil production might be correlated with loan demand […]

Extracting Value from CECL 1

“Turn the pain of compliance into the benefit of strategy,” said Thomas Caragher, Senior Product Manager of Financial & Risk Management Solutions at Fiserv, a US provider of financial services technology. He was speaking about the approaching deadline to implement new guidelines for current expected credit losses (CECL) at a webinar sponsored by the Global Association of Risk Professionals on April 11, 2018. CECL is the new impairment standard for credit impairment under the Financial Accounting Standards Board (FASB). Since it affects accounting, the effect of CECL will be felt “in department stores, cell phone companies, municipalities”—throughout the U.S. The purpose of business intelligence is […]

Behavioral Analytics 3

There is a range of future applications of behavioral analysis in banking risk management, said Clifford Rossi, Professor of Finance at University of Maryland. Its true potential has yet to be tapped. As an example, he described how hehavioral analysis can be deployed in credit risk assessment of non-traditional borrowers. The borrower willingness-to-repay preference used to always prioritize the family home. Since the 2007 financial crisis, there’s been a shift in mortgage borrower attitudes. In some areas, borrowers prioritize their car. The change in this sentiment can be detected using behavioral analysis. “It was virtually impossible using the proxy variable […]

Behavioral Analytics 2

Industry leaders in the field of behavioral analysis (Facebook, Apple, Microsoft, Google, and Amazon – FAMGA, as some call them) are “decision architects,” said Joe Mattey, Vice President of Enterprise Risk Analytics, and Chief Risk Officer at USAA. Typically a FAMGA product designer will put together a solution, such as a screen dialog, and fine-tune it over the course of many randomized, controlled trials, to see if the proposed solution gets the desired result—or whether some components need to be changed. In this way, behavioral analysis is looking not just at a decision outcome, it is looking at how that […]

Behavioral Analytics 1

The application of behavioral analysis to banking will touch nearly every corner of the financial sector. Is the financial institution you work for ready? Are you ready? Traditional economic analysis assumes that individuals and groups rationally maximize their outcomes, and that consumer consumption is defined by utility maximization. In contrast, behavioral analysis does not assume rationality. It seeks to understand individual or group behavior, which is often not rule-based, said Joe Mattey, Vice President of Enterprise Risk Analytics, and Chief Risk Officer at USAA. He was one of two panellists on March 13, 2018, speaking about how banks can leverage […]

As Fast as You Can

The implementation window for the new Current Expected Credit Loss (CECL) standard may seem plenty big enough, but there are loads of decisions to be made, such as “how will we calculate this?” “Decide on methodology and start implementing as fast as you can,” advised Masha Muzyka, Senior Director, Regulatory and Accounting Solutions at Moody’s Analytics. She was part of a round-table discussion, held on January 10, 2018, about the transition to CECL. The webcast was organized by the Global Association of Risk Professionals (GARP). The new CECL standard will bring significant changes, such as a spike in earnings volatility. […]

Challenges to modelling

Modelling the Current Expected Credit Loss (CECL) may present problems to some banks. Possibly a bank is collecting data for annualized charge-off rates and “how would that inform someone as to the loss rate over the lifetime of the portfolio?” asked Michael Gullette, SVP, Tax and Accounting at the American Bankers Association. The question is whether a bank has enough data of the right kind to see trends and relationships. “And if you have the data, what is the quality?” Gullette said. He was part of a round-table discussion about the transition to CECL that was webcast by the Global […]

Never too early to start

The “reasonable and supportable” clause of the new Current Expected Credit Loss (CECL) standard “is the most hotly debated part” of the regulation, according to Cristian deRitis, Senior Director, Consumer Credit Analytics at Moody’s Analytics. He was part of a round-table discussion about the transition to CECL that was webcast by the Global Association of Risk Professionals (GARP) on January 10, 2018. CECL is the new credit impairment standard under Financial Accounting Standards Board (FASB). “Auditors are grappling with what ‘reasonable and supportable’ means, too,” he added. For best practice in terms of modelling credit risk, the phrase boils down to whether […]

It’s all about the benchmark

The costs of financial transactions (in either the bond or stock markets) are quoted as bid and ask prices relative to the prevailing market price. But what, really, is meant by “prevailing market price” of thinly traded bonds? Two panellists discussed fixed income transaction cost analysis (TCA) at a webinar sponsored by the Global Association of Risk Professionals on December 12, 2017. Paul Daley, Managing Director at BondWave Information Lab, compared the market microstructure for stocks and bonds. BondWave LLC is a financial technology company and registered investment advisor that provides solutions to facilitate individual bond investing. “Data is the […]