Category: Finance & Banking Algorithms
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How Banks Stress-Test Capital Under Macroeconomic Scenarios: PPNR, Credit Losses, Balance-Sheet Projections, RWA and Stress Capital Buffers
A mathematical guide to bank capital stress testing: macroeconomic scenarios, PPNR, credit losses, balance-sheet projections, risk-weighted assets, CET1 paths, reverse stress testing and stress capital buffers.
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How Banks Construct Interest-Rate Hedges: Duration Gaps, Key-Rate Sensitivities, Swaps, Basis Risk and Hedge Effectiveness
A mathematical guide to bank interest-rate hedge construction: duration gaps, DV01/key-rate sensitivities, interest-rate swaps, natural hedges, basis risk, optionality and hedge effectiveness.
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How Banks Validate Risk Models: Conceptual Soundness, Benchmarking, Backtesting, Challenger Models and Model Risk
A mathematical guide to bank model validation under the revised 2026 interagency guidance: conceptual soundness, data, implementation testing, benchmarking, backtesting, challengers and governance.
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How Banks Price Loans for Risk-Adjusted Return: Expected Loss, Funds Transfer Pricing, Economic Capital, RAROC and Pricing Floors
A mathematical guide to bank loan pricing: cost of funds, FTP, expected credit loss, operating cost, economic capital, RAROC, optionality, pricing floors and model validation.
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How Banks Forecast Intraday Liquidity: Payment Queues, Liquidity-Saving Mechanisms, Daylight Overdrafts and Settlement Stress
A mathematical guide to bank intraday liquidity: payment-flow forecasts, RTGS queues, liquidity-saving mechanisms, daylight overdrafts, collateral, stress scenarios and settlement timing.
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How Banks Measure Credit-Portfolio Concentration: HHI, Default Correlation, Granularity, Large Exposures and Stress Testing
A mathematical guide to bank credit concentration: HHI, effective borrower counts, default correlation, granularity, connected counterparties, large-exposure limits and stress testing.
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How Banks Optimise Collateral for Repo and Margin: Eligibility, Haircuts, Funding Value, Encumbrance and Linear Programming
A mathematical guide to bank collateral optimisation: repo haircuts, eligibility, funding value, encumbrance, HQLA opportunity cost, margin obligations and linear programming.
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How Bank Transaction-Monitoring Algorithms Detect Money Laundering: Rules, Graphs, Anomaly Scores, False Positives and Human Review
A mathematical guide to defensive AML transaction monitoring: rules, customer profiles, graph analytics, anomaly scoring, false positives, alert queues, model validation and human review.
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How Banks Model Operational Risk: Loss-Event Data, the Business Indicator, Scenario Analysis, Control Failures and Operational Resilience
A mathematical guide to bank operational risk: loss-event data, Basel’s Business Indicator, scenario analysis, controls, extreme losses, third-party dependencies and operational resilience.