Category: Finance & Banking Algorithms
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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.
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How Banks Model Deposit Behaviour: Deposit Betas, Non-Maturity Deposits, Decay Curves, Rate Pass-Through and Digital Run Risk
A mathematical guide to bank deposit-behaviour models: deposit betas, non-maturity deposits, decay curves, behavioural maturity, rate pass-through, segmentation and digital run risk.
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How Banks Estimate Expected Credit Loss: IFRS 9 Staging, CECL Lifetime Losses, Probability-Weighted Scenarios and Model Overlays
A mathematical comparison of expected-credit-loss algorithms under IFRS 9 and CECL: staging, lifetime losses, forward-looking scenarios, PD/LGD/EAD, overlays and validation.
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How Central Counterparties Calculate Margin: Variation Margin, Initial Margin, Stress Scenarios, Default Funds and the Default Waterfall
A mathematical guide to central counterparty margining: variation margin, initial margin, margin periods of risk, stress testing, default funds, waterfalls and procyclicality.
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How Banks Use Funds Transfer Pricing Algorithms: Internal Yield Curves, Liquidity Premiums, Behavioural Maturity and Risk-Adjusted Profitability
A mathematical guide to bank funds transfer pricing: matched-maturity curves, liquidity premiums, behavioural maturity, option costs, incentives and risk-adjusted profitability.
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How Interbank Networks Transmit Bank Stress: Exposure Graphs, Overlapping Portfolios, Fire-Sale Feedback and Contagion
A mathematical guide to banking contagion through interbank exposure graphs, overlapping portfolios, liquidity hoarding, fire-sale feedback, network topology and stress testing.