�ݺ�ߣshows by User: GenestBenoit

�ݺ�ߣshows by User: GenestBenoit / http://www.slideshare.net/images/logo.gif �ݺ�ߣshows by User: GenestBenoit / Mon, 11 May 2020 14:14:47 GMT �ݺ�ߣShare feed for �ݺ�ߣshows by User: GenestBenoit climate risk 7 proposals /slideshow/climate-risk-7-proposals/233574182 chcoclimaterisk7proposals-200511141447
7 proposals to integrate Climate Risk into Capital Requirements]]>
7 proposals to integrate Climate Risk into Capital Requirements]]> Mon, 11 May 2020 14:14:47 GMT /slideshow/climate-risk-7-proposals/233574182 GenestBenoit@slideshare.net(GenestBenoit) climate risk 7 proposals GenestBenoit 7 proposals to integrate Climate Risk into Capital Requirements <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/chcoclimaterisk7proposals-200511141447-thumbnail.jpg?width=120&height=120&fit=bounds" /> 7 proposals to integrate Climate Risk into Capital Requirements

climate risk 7 proposals from Genest Benoit

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0 Basel II IRB Risk Weight Functions : Demonstration and Analysis /slideshow/basel-ii-irb-risk-weight-functions-demonstration-and-analysis/230541558 chciegrawhitepaperrwafunctionfinalversion-200319173034
This paper introduces Basel II, the construction of risk weight functions and their limits in two sections: In the first, basic fundamentals are presented to better understand these prerequisites: the likelihood of losses, expected and unexpected loss, Value at Risk, and regulatory capital. Then we discuss the founding principles of the regulatory formula for risk weight functions and how it works. The latter section is dedicated to studying the different parameters of risk weight functions, in order to discuss their limits, modifications and impacts on the regulatory capital charge coefficient. ]]>
This paper introduces Basel II, the construction of risk weight functions and their limits in two sections: In the first, basic fundamentals are presented to better understand these prerequisites: the likelihood of losses, expected and unexpected loss, Value at Risk, and regulatory capital. Then we discuss the founding principles of the regulatory formula for risk weight functions and how it works. The latter section is dedicated to studying the different parameters of risk weight functions, in order to discuss their limits, modifications and impacts on the regulatory capital charge coefficient. ]]> Thu, 19 Mar 2020 17:30:34 GMT /slideshow/basel-ii-irb-risk-weight-functions-demonstration-and-analysis/230541558 GenestBenoit@slideshare.net(GenestBenoit) Basel II IRB Risk Weight Functions : Demonstration and Analysis GenestBenoit This paper introduces Basel II, the construction of risk weight functions and their limits in two sections: In the first, basic fundamentals are presented to better understand these prerequisites: the likelihood of losses, expected and unexpected loss, Value at Risk, and regulatory capital. Then we discuss the founding principles of the regulatory formula for risk weight functions and how it works. The latter section is dedicated to studying the different parameters of risk weight functions, in order to discuss their limits, modifications and impacts on the regulatory capital charge coefficient. <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/chciegrawhitepaperrwafunctionfinalversion-200319173034-thumbnail.jpg?width=120&height=120&fit=bounds" /> This paper introduces Basel II, the construction of risk weight functions and their limits in two sections: In the first, basic fundamentals are presented to better understand these prerequisites: the likelihood of losses, expected and unexpected loss, Value at Risk, and regulatory capital. Then we discuss the founding principles of the regulatory formula for risk weight functions and how it works. The latter section is dedicated to studying the different parameters of risk weight functions, in order to discuss their limits, modifications and impacts on the regulatory capital charge coefficient.

Basel II IRB Risk Weight Functions : Demonstration and Analysis from Genest Benoit

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0 Model Risk Management | How to measure and quantify model risk? /slideshow/model-risk-management-how-to-measure-and-quantify-model-risk/230541386 wpgramrm-200319172400
The aim of this paper is to present model risk situations and a methodology to measure and quantify the associated risk at model level, with different types of assumptions. Then, considering that in practice, a model risk management at model level is hardly feasible, this paper also outlines a method to measure and quantify model risk at risk category level (ex: Credit Risk). In fact, one of the overarching drivers of this paper is to provide a model risk “value” which will enable you to analyse if the model risk is sufficiently covered. Indeed, although banks already allocate funds regarding this risk (portion of RWA attributed to conservative margins for credit risk, portion of Op risk Value at Risk, etc.), assessing the appropriateness of those funds remain complicated]]>
The aim of this paper is to present model risk situations and a methodology to measure and quantify the associated risk at model level, with different types of assumptions. Then, considering that in practice, a model risk management at model level is hardly feasible, this paper also outlines a method to measure and quantify model risk at risk category level (ex: Credit Risk). In fact, one of the overarching drivers of this paper is to provide a model risk “value” which will enable you to analyse if the model risk is sufficiently covered. Indeed, although banks already allocate funds regarding this risk (portion of RWA attributed to conservative margins for credit risk, portion of Op risk Value at Risk, etc.), assessing the appropriateness of those funds remain complicated]]> Thu, 19 Mar 2020 17:24:00 GMT /slideshow/model-risk-management-how-to-measure-and-quantify-model-risk/230541386 GenestBenoit@slideshare.net(GenestBenoit) Model Risk Management | How to measure and quantify model risk? GenestBenoit The aim of this paper is to present model risk situations and a methodology to measure and quantify the associated risk at model level, with different types of assumptions. Then, considering that in practice, a model risk management at model level is hardly feasible, this paper also outlines a method to measure and quantify model risk at risk category level (ex: Credit Risk). In fact, one of the overarching drivers of this paper is to provide a model risk “value” which will enable you to analyse if the model risk is sufficiently covered. Indeed, although banks already allocate funds regarding this risk (portion of RWA attributed to conservative margins for credit risk, portion of Op risk Value at Risk, etc.), assessing the appropriateness of those funds remain complicated <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/wpgramrm-200319172400-thumbnail.jpg?width=120&height=120&fit=bounds" /> The aim of this paper is to present model risk situations and a methodology to measure and quantify the associated risk at model level, with different types of assumptions. Then, considering that in practice, a model risk management at model level is hardly feasible, this paper also outlines a method to measure and quantify model risk at risk category level (ex: Credit Risk). In fact, one of the overarching drivers of this paper is to provide a model risk “value” which will enable you to analyse if the model risk is sufficiently covered. Indeed, although banks already allocate funds regarding this risk (portion of RWA attributed to conservative margins for credit risk, portion of Op risk Value at Risk, etc.), assessing the appropriateness of those funds remain complicated

Model Risk Management | How to measure and quantify model risk? from Genest Benoit

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0 EAD Parameter : A stochastic way to model the Credit Conversion Factor /slideshow/ead-parameter-a-stochastic-way-to-model-the-credit-conversion-factor/230541160 whitepapergra-eadstochastic-en-vdef-200319171640
This white paper aims at estimating credit risk by modelling the Credit Conversion Factor (CCF) parameter related to the Exposure-at-Default (EAD). It has been decided to perform the estimation thanks to stochastic processes instead of usual statistical methodologies (such as classification tree or GLM). Our paper will focus on two types of model: the Ornstein Uhlenbeck (OU) model – part of ARMA model types – and the Geometric Brownian Movement (GBM) model. First, we will describe, then implement and calibrate each model to ensure relevance and robustness of our results. Then, we will focus on GBM model to model CCF. ]]>
This white paper aims at estimating credit risk by modelling the Credit Conversion Factor (CCF) parameter related to the Exposure-at-Default (EAD). It has been decided to perform the estimation thanks to stochastic processes instead of usual statistical methodologies (such as classification tree or GLM). Our paper will focus on two types of model: the Ornstein Uhlenbeck (OU) model – part of ARMA model types – and the Geometric Brownian Movement (GBM) model. First, we will describe, then implement and calibrate each model to ensure relevance and robustness of our results. Then, we will focus on GBM model to model CCF. ]]> Thu, 19 Mar 2020 17:16:40 GMT /slideshow/ead-parameter-a-stochastic-way-to-model-the-credit-conversion-factor/230541160 GenestBenoit@slideshare.net(GenestBenoit) EAD Parameter : A stochastic way to model the Credit Conversion Factor GenestBenoit This white paper aims at estimating credit risk by modelling the Credit Conversion Factor (CCF) parameter related to the Exposure-at-Default (EAD). It has been decided to perform the estimation thanks to stochastic processes instead of usual statistical methodologies (such as classification tree or GLM). Our paper will focus on two types of model: the Ornstein Uhlenbeck (OU) model – part of ARMA model types – and the Geometric Brownian Movement (GBM) model. First, we will describe, then implement and calibrate each model to ensure relevance and robustness of our results. Then, we will focus on GBM model to model CCF. <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/whitepapergra-eadstochastic-en-vdef-200319171640-thumbnail.jpg?width=120&height=120&fit=bounds" /> This white paper aims at estimating credit risk by modelling the Credit Conversion Factor (CCF) parameter related to the Exposure-at-Default (EAD). It has been decided to perform the estimation thanks to stochastic processes instead of usual statistical methodologies (such as classification tree or GLM). Our paper will focus on two types of model: the Ornstein Uhlenbeck (OU) model – part of ARMA model types – and the Geometric Brownian Movement (GBM) model. First, we will describe, then implement and calibrate each model to ensure relevance and robustness of our results. Then, we will focus on GBM model to model CCF.

EAD Parameter : A stochastic way to model the Credit Conversion Factor from Genest Benoit

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0 Risk modelling hot topics /slideshow/risk-modelling-hot-topics/156972008 bookletgra3rdedition-190722134436
Stochastic LGD, Bitcoin pricing, OpRisk SMA, Catastrophic, Back testing, Expected shortfall]]>
Stochastic LGD, Bitcoin pricing, OpRisk SMA, Catastrophic, Back testing, Expected shortfall]]> Mon, 22 Jul 2019 13:44:36 GMT /slideshow/risk-modelling-hot-topics/156972008 GenestBenoit@slideshare.net(GenestBenoit) Risk modelling hot topics GenestBenoit Stochastic LGD, Bitcoin pricing, OpRisk SMA, Catastrophic, Back testing, Expected shortfall <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/bookletgra3rdedition-190722134436-thumbnail.jpg?width=120&height=120&fit=bounds" /> Stochastic LGD, Bitcoin pricing, OpRisk SMA, Catastrophic, Back testing, Expected shortfall

Risk modelling hot topics from Genest Benoit

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0 Article cem into sa-ccr /GenestBenoit/article-cem-into-saccr article-cemintosa-ccr-190607093034
Counterparty Credit Risk | Evolution of the standardised approach to determine the EAD of counterparties This article focuses on Counterparty Credit Risk. The topic of this article is on the evolution and need of standardised method for the assessment of Exposure at Default of counterparties and their Capitalisation under regulatory requirements.]]>
Counterparty Credit Risk | Evolution of the standardised approach to determine the EAD of counterparties This article focuses on Counterparty Credit Risk. The topic of this article is on the evolution and need of standardised method for the assessment of Exposure at Default of counterparties and their Capitalisation under regulatory requirements.]]> Fri, 07 Jun 2019 09:30:34 GMT /GenestBenoit/article-cem-into-saccr GenestBenoit@slideshare.net(GenestBenoit) Article cem into sa-ccr GenestBenoit Counterparty Credit Risk | Evolution of the standardised approach to determine the EAD of counterparties This article focuses on Counterparty Credit Risk. The topic of this article is on the evolution and need of standardised method for the assessment of Exposure at Default of counterparties and their Capitalisation under regulatory requirements. <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/article-cemintosa-ccr-190607093034-thumbnail.jpg?width=120&height=120&fit=bounds" /> Counterparty Credit Risk | Evolution of the standardised approach to determine the EAD of counterparties This article focuses on Counterparty Credit Risk. The topic of this article is on the evolution and need of standardised method for the assessment of Exposure at Default of counterparties and their Capitalisation under regulatory requirements.

Article cem into sa-ccr from Genest Benoit

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0 Expected shortfall-back testing /slideshow/expected-shortfallback-testing/96262971 wp-gra-ch-expectedshortfall-backtesting-180507125446
How to back test an Expected Shortfall ? Benchmarking and practical solutions (VaR, ES, Credit VaR, FRTB, Market Risk)]]>
How to back test an Expected Shortfall ? Benchmarking and practical solutions (VaR, ES, Credit VaR, FRTB, Market Risk)]]> Mon, 07 May 2018 12:54:46 GMT /slideshow/expected-shortfallback-testing/96262971 GenestBenoit@slideshare.net(GenestBenoit) Expected shortfall-back testing GenestBenoit How to back test an Expected Shortfall ? Benchmarking and practical solutions (VaR, ES, Credit VaR, FRTB, Market Risk) <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/wp-gra-ch-expectedshortfall-backtesting-180507125446-thumbnail.jpg?width=120&height=120&fit=bounds" /> How to back test an Expected Shortfall ? Benchmarking and practical solutions (VaR, ES, Credit VaR, FRTB, Market Risk)

Expected shortfall-back testing from Genest Benoit

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0 Comments on Basel Op Risk proposal finally published ... /slideshow/comments-on-basel-op-risk-proposal-finally-published/79297340 baselopriskchcogra-170830183559
The Basel Committee finally decided to publish comments to its (controversial) consultation about "Standardised Measurement Approach for operational risk". Hereafter, our detailed answer]]>
The Basel Committee finally decided to publish comments to its (controversial) consultation about "Standardised Measurement Approach for operational risk". Hereafter, our detailed answer]]> Wed, 30 Aug 2017 18:35:59 GMT /slideshow/comments-on-basel-op-risk-proposal-finally-published/79297340 GenestBenoit@slideshare.net(GenestBenoit) Comments on Basel Op Risk proposal finally published ... GenestBenoit The Basel Committee finally decided to publish comments to its (controversial) consultation about "Standardised Measurement Approach for operational risk". Hereafter, our detailed answer <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/baselopriskchcogra-170830183559-thumbnail.jpg?width=120&height=120&fit=bounds" /> The Basel Committee finally decided to publish comments to its (controversial) consultation about "Standardised Measurement Approach for operational risk". Hereafter, our detailed answer

Comments on Basel Op Risk proposal finally published ... from Genest Benoit

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0 Ch gra wp_cat_bonds_2017 /GenestBenoit/ch-gra-wpcatbonds2017 chgrawpcatbonds2017-170828124746
Cat bonds & Artificial Neural Networks. An example of reinsurance products’ pricing using machine learning methods]]>
Cat bonds & Artificial Neural Networks. An example of reinsurance products’ pricing using machine learning methods]]> Mon, 28 Aug 2017 12:47:46 GMT /GenestBenoit/ch-gra-wpcatbonds2017 GenestBenoit@slideshare.net(GenestBenoit) Ch gra wp_cat_bonds_2017 GenestBenoit Cat bonds & Artificial Neural Networks. An example of reinsurance products’ pricing using machine learning methods <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/chgrawpcatbonds2017-170828124746-thumbnail.jpg?width=120&height=120&fit=bounds" /> Cat bonds & Artificial Neural Networks. An example of reinsurance products’ pricing using machine learning methods

Ch gra wp_cat_bonds_2017 from Genest Benoit

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0 Gra wp modelling perspectives /slideshow/gra-wp-modelling-perspectives/78695437 grawpmodellingperspectives-170809113420
What is a model ? Model governance]]>
What is a model ? Model governance]]> Wed, 09 Aug 2017 11:34:19 GMT /slideshow/gra-wp-modelling-perspectives/78695437 GenestBenoit@slideshare.net(GenestBenoit) Gra wp modelling perspectives GenestBenoit What is a model ? Model governance <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/grawpmodellingperspectives-170809113420-thumbnail.jpg?width=120&height=120&fit=bounds" /> What is a model ? Model governance

Gra wp modelling perspectives from Genest Benoit

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0 Data Science by Chappuis Halder & Co. /slideshow/data-science-by-chappuis-halder-co/64112480 20160719offdatasciencegraeng-160718071655
Data science in the financial industry]]>
Data science in the financial industry]]> Mon, 18 Jul 2016 07:16:55 GMT /slideshow/data-science-by-chappuis-halder-co/64112480 GenestBenoit@slideshare.net(GenestBenoit) Data Science by Chappuis Halder & Co. GenestBenoit Data science in the financial industry <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/20160719offdatasciencegraeng-160718071655-thumbnail.jpg?width=120&height=120&fit=bounds" /> Data science in the financial industry

Data Science by Chappuis Halder & Co. from Genest Benoit

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0 Booklet_GRA_RISK MODELLING_Second Edition (002).compressed /slideshow/bookletgrarisk-modellingsecond-edition-002compressed/60954542 0978fd29-94a3-46ec-90d6-8e0dbfa93b77-160415121114
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]]> Fri, 15 Apr 2016 12:11:14 GMT /slideshow/bookletgrarisk-modellingsecond-edition-002compressed/60954542 GenestBenoit@slideshare.net(GenestBenoit) Booklet_GRA_RISK MODELLING_Second Edition (002).compressed GenestBenoit <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/0978fd29-94a3-46ec-90d6-8e0dbfa93b77-160415121114-thumbnail.jpg?width=120&height=120&fit=bounds" />

Booklet_GRA_RISK MODELLING_Second Edition (002).compressed from Genest Benoit

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0 CHCie - Booklet GRA.compressed /slideshow/chcie-booklet-gracompressed/60954478 aaf981d7-22b7-4d67-a5f9-1bf3bf965606-160415120925
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]]> Fri, 15 Apr 2016 12:09:25 GMT /slideshow/chcie-booklet-gracompressed/60954478 GenestBenoit@slideshare.net(GenestBenoit) CHCie - Booklet GRA.compressed GenestBenoit <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/aaf981d7-22b7-4d67-a5f9-1bf3bf965606-160415120925-thumbnail.jpg?width=120&height=120&fit=bounds" />

CHCie - Booklet GRA.compressed from Genest Benoit

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0 CH&Co. latest white paper on VaR /slideshow/chco-latest-white-paper-on-var/49971061 chcogra-varestimationsolutions-2015compressed-150629183551-lva1-app6891
Because the VaR starts to be « old fashioned » and not so "Normal" :-), CH&Co. and its GRA team wanted to pay a last tribute to this world famous Market Risk Method. This paper comes along with a Excel Tool]]>
Because the VaR starts to be « old fashioned » and not so "Normal" :-), CH&Co. and its GRA team wanted to pay a last tribute to this world famous Market Risk Method. This paper comes along with a Excel Tool]]> Mon, 29 Jun 2015 18:35:51 GMT /slideshow/chco-latest-white-paper-on-var/49971061 GenestBenoit@slideshare.net(GenestBenoit) CH&Co. latest white paper on VaR GenestBenoit Because the VaR starts to be « old fashioned » and not so "Normal" :-), CH&Co. and its GRA team wanted to pay a last tribute to this world famous Market Risk Method. This paper comes along with a Excel Tool <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/chcogra-varestimationsolutions-2015compressed-150629183551-lva1-app6891-thumbnail.jpg?width=120&height=120&fit=bounds" /> Because the VaR starts to be « old fashioned » and not so "Normal" :-), CH&Co. and its GRA team wanted to pay a last tribute to this world famous Market Risk Method. This paper comes along with a Excel Tool

CH&Co. latest white paper on VaR from Genest Benoit

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0 CH&Co Latest White Paper on VaR /GenestBenoit/ch-co-gra-var-estimation-solutions-2015compressed-49969989 chcogra-varestimationsolutions-2015-150629180600-lva1-app6891
Because the VaR starts to be « old fashioned » and not so "Normal" - :) - , CH&Co. and its GRA team wanted to pay a last tribute to this world famous Market Risk Method. This paper comes together with a free excel tool]]>
Because the VaR starts to be « old fashioned » and not so "Normal" - :) - , CH&Co. and its GRA team wanted to pay a last tribute to this world famous Market Risk Method. This paper comes together with a free excel tool]]> Mon, 29 Jun 2015 18:06:00 GMT /GenestBenoit/ch-co-gra-var-estimation-solutions-2015compressed-49969989 GenestBenoit@slideshare.net(GenestBenoit) CH&Co Latest White Paper on VaR GenestBenoit Because the VaR starts to be « old fashioned » and not so "Normal" - :) - , CH&Co. and its GRA team wanted to pay a last tribute to this world famous Market Risk Method. This paper comes together with a free excel tool <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/chcogra-varestimationsolutions-2015-150629180600-lva1-app6891-thumbnail.jpg?width=120&height=120&fit=bounds" /> Because the VaR starts to be « old fashioned » and not so "Normal" - :) - , CH&Co. and its GRA team wanted to pay a last tribute to this world famous Market Risk Method. This paper comes together with a free excel tool

CH&Co Latest White Paper on VaR from Genest Benoit

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0 https://cdn.slidesharecdn.com/profile-photo-GenestBenoit-48x48.jpg?cb=1680869221 Based in London In charge of "Global Research & Analytics" Dpt. of Chappuis Halder & Cie UK A risk management & risk modelling professional with 15 years of experience covering market/credit/operational/counterparty /Funding & Liquidity risks, quantitative methods, trade support functions with over 10 years of experience in model validation testing complex pricing models and risk methodologies (Merton Model, Markov Matrix, Logit / Probit, Bayesian networks, Correlation / copulas, Monte Carlo simulation, advanced statistics, Data mining...) . https://cdn.slidesharecdn.com/ss_thumbnails/chcoclimaterisk7proposals-200511141447-thumbnail.jpg?width=320&height=320&fit=bounds slideshow/climate-risk-7-proposals/233574182 climate risk 7 proposals https://cdn.slidesharecdn.com/ss_thumbnails/chciegrawhitepaperrwafunctionfinalversion-200319173034-thumbnail.jpg?width=320&height=320&fit=bounds slideshow/basel-ii-irb-risk-weight-functions-demonstration-and-analysis/230541558 Basel II IRB Risk Weig... https://cdn.slidesharecdn.com/ss_thumbnails/wpgramrm-200319172400-thumbnail.jpg?width=320&height=320&fit=bounds slideshow/model-risk-management-how-to-measure-and-quantify-model-risk/230541386 Model Risk Management ...