News
November 2011: Research paper
RCL staff complete research paper on "Rating Correlations and Macro Stress Testing".
November 2011: Macro stress testing
RCL Director, William Perraudin, speaks on macro stress testing at Cass Business School Seminar.
November 2011: Counterparty default risk management
RCL Director, William Perraudin, speaks on counterparty default risk management under Solvency II Directive at the seminar "Preparing for Solvency II" in Dublin.
October 2011: Session on bank regulation and risk management
RCL Director, William Perraudin, chairs a session on bank regulation and risk management at the conference "Basel III and Beyond: Regulating and Supervising Banks in the Post-Crisis Era", organized jointly by the Deutsche Bundesbank and the Centre for European Economic Research (ZEW).
September 2011: Evidence on the Eurosystem crisis
Perraudin gives evidence on the Eurosystem crisis to the Treasury Select Committee of the UK parliament.
August 2011: Project on pricing corporate insurance risks
RCL Director, William Perraudin, starts major new project on pricing large corporate insurance risks with Imperial College and the Insurance Intellectual Capital Initiative, a group of large insurance companies and Lloyds syndicates. The project is launched in an event at the Lloyds building in London.
July 2011: Breakfast briefing
RCL organises joint with management consulting firm Navigant a breakfast briefing on the interim report of the UK's Independent Commission on Banking.
June 2011: Analysis on levels of bank capital
RCL contributes analysis on appropriate levels of bank capital to the submission of major UK bank to the Independent Commission on Banking.
May 2011: Macro stress-testing development
Risk Control develops a set of new stress-testing methodologies for use by banks and insurance companies. The techniques allow users to conduct macro stress tests in a minimally disruptive way within their existing risk models. Alternatively, they may combine macroeconomic and risk factor analysis within a free-standing stress testing tool. The techniques are applicable to credit risk (either within the banking book or in a trading book Incremental Risk Charge analysis) or more generally for trading book market risk covering a wide range of risk factors.
May 2011: Risk management training
Risk Control devises new training offerings for clients including courses on risk management techniques and the integration of risk and strategy functions within firms.
April 2011: Discussion paper
Risk Control completes new discussion paper on spread fitting techniques.
March 2011: Solvency II
Risk Control completes its second Solvency II modelling assignment for a major insurance company.
February 2011: Risk Controller enhancements
Release of new version of RiskController with revamped interface and incorporating significant enhancements to the range of risk statistics calculated and the flexibility with which risk can be analysed for sub-portfolios.
January 2011: White paper on term structure fitting
Risk Control completes white paper on term structure fitting. This provides robust techniques for obtaining high quality spread data by sector, rating and maturity.
December 2010: Risk-based pricing
Risk Control completes review of risk based pricing for major German energy firm.
December 2010: Risk Controller upgrade
Risk Control extends the web-service capabilities of its Risk Controller engine to include functions that enable clients to invoke exposure-data imports via SOAP (Simple Object Access Protocol).