Programme Risk Day 2021
Friday, 17 September 2021
Abstracts
We review today's monies and the current monetary architecture. Then, we outline different options for CBDCs and their foundations. Finally, we suggest the eFranc for Switzerland.
Damir Filipović
Stripping the discount curve — a robust machine learning approach
We propose a non-parametric method, kernel ridge regression, for estimating the discount curve from treasury securities, with regularization penalties in terms of the smoothness of the approximating discount curve. We provide analytical solutions, which are straight-forward to implement. We then apply our method on a large data set of U.S. Treasury securities to extract term structure estimates at daily frequency. The resulting term structure estimates closely match benchmarks from the literature but have smaller pricing errors.
Michael Amrein
From risk model governance to model risk governance
The importance of model risk, the risk of adverse consequences resulting from decisions based on incorrect or misused model outputs, was and is still growing in the financial industry due to increasing reliance on models. Regulatory bodies also confirmed that global banks need to implement comprehensive frameworks to manage and control model risk via the usual three lines of defense approach. The presentation will provide insights into the journey to a model risk governance framework with increased scope beyond traditional (risk) models, holistic coverage of all model risk dimensions, model risk appetite statements and enhanced reporting capabilities, and how one effectively and efficiently copes with the enhanced expectations.
Domenico De Luca
Insights into risk management in energy trading in the wake of the energy transition and the enormous impact on the energy landscape
We give an overview of what is happening in the Energy Transition to combat climate change and decarbonize the economy and how we see the long-term impact on the energy mix. We then elaborate on the application of Risk Management in energy trading in contrast to Financial Securities trading. Finally, we give an overview of commodity cycles and our recommendation on how to deal effectively with them.