Helping Barclays meet the Basel III regulation rules

13th November 2019

Lead institution:
The London School of Economics and Political Science

Author:
Professor Qiwei Yao, Department of Statistics

Summary:
Statistics Professor Qiwei Yao helped Barclays Bank devise methods required by international regulators to test its resilience against future shocks. His methodology was approved by Barclays’ internal governance process and, from September 2013, was implemented as part of business operations at Barclays. Barclays’ credit risk managers have since used the results of the methodology on a daily basis to control model risks.

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Summary:
Statistics Professor Qiwei Yao helped Barclays Bank devise methods required by international regulators to test its resilience against future shocks. His methodology was approved by Barclays’ internal governance process and, from September 2013, was implemented as part of business operations at Barclays. Barclays’ credit risk managers have since used the results of the methodology on a daily basis to control model risks.

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