News

August 2014: Study for GFMA
RCL completes study for GFMA on the quantitative impact of the Basel Committee's proposals for securitisation capital.

July 2014: Study on High Quality Securitisations
RCL publishes analysis of the risk and liquidity of High Quality Securitisations following a project commissioned by Prime Collateralised Securities.

June 2014: Stress Controller enhancements
RCL completes enhancement of its Stress Controller software permitting flexible scripted stresses to individual position data.

June 2014: Presentation at Global ABS
RCL's Perraudin presents at Global ABS in Barcelona on new regulatory developments for securitisations.

May 2014: Study on High Quality Securitisations
RCL's Perraudin publishes a reasearch study on the risk and liquidity advantages of investing in High Quality Securitisations.

April 2014: Presentation at a conference
RCL presents on Enterprise Risk Management implications of Defined Benefit pensions schemes to the UK Institute of Acuaries' WMA Prudential Conference.

April 2014: Study on alternative for securitisation capital
RCL's Perraudin and BNP Paribas co-authors issues study of a practical, formula-based alternative for securitisation capital, the Conservative Monotone Approach entitled: "Calibration of the CMA and Regulatory Capital for Securitisations".

April 2014: Stress Controller enhancements
RCL extends user roles and security in its Stress Controller software.

March 2014: Presentation at a conference
RCL presents on AFA at a Securitisation Event 2014 in Amsterdam.

January 2014: New modelling approach
New approach developed for modelling tree-based correlation structures with application to asset manager ICAAP and operational risks by legal entity.

January 2014: ICAAP assessments
RCL completes ICAAP risk assessments for several leading asset managers.

December 2013: Development of the Stress Controller
RCL develops financial regulator implementation of its Financial Planning version of Stress Controller.

November 2013: Note on Basel simplicity objectives
RCL issues note on Basel simplicity objectives and the allocation of securitisation capital.

November 2013: Enhancement of the Stress Controller
RCL enhances the Credit Standalone version of Stress Controller allowing more flexible use of scenarios and the calculation of a wider set of outputs.

November 2013: Presentation in a conference
A Presentation to Marcus Evans Conference, London. "The Future of the Securitisation Market".

October 2013: Conference in Milan
Securitisation and Covered Bonds Conference 2013 in Milan.

October 2013: Presentation in the Italian Funding Market
The director of RCL, William Perraudin, presented at the ABI/AFME 4th Annual Opportunities in the Italian Funding Market.

October 2013: Debtwire article on AFA
Debtwire article "Arbitrage Free Approach to ABS risk weights may capitalise on regulators' change of heart" discusses the Arbitrage-Free Approach.

September 2013: Study on maturity effects
Study completed entitled "Maturity Effects in Securitisation Capital: Total Capital Levels and Dispersion Across Tranches" joint with quants from BNP-Paribas.

September 2013: Enhancement of Stress Controller
RCL extends the Credit Standalone version of Stress Controller to permit the calculation of RAROC measures for individual positions conditional on macroeconomic scenarios.

September 2013: Presentation of securitisation research
Presentation of securitisation research at several central bank and regulatory organisations.

August 2013: Study on securitisation capital
Study entitled "Granularity, Heterogeneity and Securitisation Capital" completed joint with BNP Paribas and RBS.

August 2013: Enhancement of the stress testing methodology
RCL enhances its stress testing methodology to permit reverse engineering of scenarios given the specification of a subset of macroeconomic indicators.

July 2013: Arbitrage-Free Approach
Risk Magazine article "Industry offers alternative to simplified securitisation capital formula" discusses the Arbitrage-Free Approach.

July 2013: Arbitrage-Free Approach
The Euromoney Securitisation and Structured Finance Handbook, July 2013 discusses the Arbitrage-Free Approach (AFA).

June 2013: A Presentation to Global ABS 2013 Conference
A Presentation to Global ABS 2013 Conference, Brussels. "AFA and SAFA. Comparison with IRBA, SFA, MSFA, SSFA, RRBA".

June 2013: Simplified Arbitrage-Free Approach
Debtwire article "Working group fleshes out Simplified AFA" discusses the Simplified Arbitrage-Free Approach (SAFA).

June 2013: Simplified Arbitrage-Free Approach
Debtwire article "Arbitrage-Free Approach goes simple as ABS industry seeks to win over regulators" discusses the Arbitrage-Free Approach (AFA) and the Simplified Arbitrage-Free Approach (SAFA).

June 2013: Arbitrage-Free Approach
Securitization Intelligence article "Regulation Still The Name Of The Game For ABS Market" discusses the Arbitrage-Free Approach (AFA).

June 2013: Arbitrage-Free Approach
Thomson Reuters "IFR European Securitisation Briefing" discusses the presentation of the Arbitrage-Free Approach (AFA).

June 2013: A "platform" version of Stress Controller
RCL completes "platform" version of its powerful Stress Controller application, allowing the software to host external mathematical or reporting applications within the web-based framework.

June 2013: Study of regulatory capital
With quants from BNP-Paribas, RCL's Perraudin completes a second study of regulatory capital for securitisations, "The Simplified Arbitrage-Free Approach".

June 2013: Arbitrage-Free Approach
Securitisation Intelligence article "Securitization Working Group Unveils Simplified Arbitrage-Free Approach To Capital" discusses the AFA proposal.

May 2013: Arbitrage-Free Approach
Risk Magazine article "Banks Push Alternative to Basel Committee Securitisation Model" discusses the AFA alternative to Basel Committee securitisation model.

May 2013: ICAAP risk analysis for asset managers and securities firms
RCL launches ICAAP risk analysis services for asset managers and securities firms.

April 2013: Study of regulatory capital
With quants from BNP-Paribas, RCL's Perraudin completes study of regulatory capital for securitisations, "A Principles-Based Approach to Regulatory Capital for Securitisations" which is presented to the Basel securitisation workstream group and to other regulators.

March 2013: Analysis of capital for securitisations
RCL engaged by major banks to analyse capital for securitisations.

March 2013: Presentation at the Banco de España conference
RCL Director William Perraudin presents at the Banco de España conference on international financial integration and fragmentation.

February 2013: Stress Controller
RCL completes major enhancements to its Stress Controller software including versions for forecasting ratings conditional on macro scenarios and improved integration with RCL's Monte Carlo engine Risk Controller.

January 2013: Risk Monitor
RCL launches its new operational and business risk application, Risk Monitor. The application allows groups of users to work cooperatively on risk analysis. It includes an innovative technique for inferring correlations from conditional probabilities of events.

January 2013: Presentation to BIS
RCL Director William Perraudin presents to BIS panel on sovereign risk.

December 2012: Study of Italian credit market conditions
Study of loan losses in Italy and sensitivity to macro shocks.

November 2012: Risk Controller
Enhancements in RCL's Monte Carlo engine announced, generalising the treatment of correlation.

October 2012: Public data version of stress testing framework
Public data version of RCL's bank balance sheet stress testing framework developed. Using this, one may examine the vulnerability of a banks to a set of macroeconomic scenarios. The data inputs may be created using public data on the bank's financial statements and risk exposures.

September 2012: Presentation at Infoline's conference
RCL presents risk appetite and ICAAP methodology at Infoline's Stress Testing & ICAAP conference in London.

August 2012: White paper
RCL completes white paper on loan default modelling and macro stress testing using Spanish bank loan data.

July 2012: Presentation to Basel Committee's Research Taskforce
RCL presents liquidity stress testing methodology to Basel Committee's Research Taskforce.

June 2012: Integrated solution
Integrated version of Stress Controller and Risk Controller completed allowing users to conduct portfolio VaR analysis conditional on macro scenarios.

May 2012: Counter-party risk
RCL completes innovative methodology for assessing counter-party risk in insurance programmes.

April 2012: White paper
RCL produces white paper on macro stress testing of liquidity risk.

March 2012: Stress Controller
RCL launches its innovative macro stress testing framework, Stress Controller. The software permits bank users to analyse the impact of macro scenarios on credit and market risk portfolios and on the bank's provisions, capital, balance sheet and P&L.

February 2012: Credit quality project
RCL assists major multinational corporate in assessing the credit quality of its banking counter-parties.

January 2012: ICAAP project
RCL delivers innovative ICAAP project for international bank, integrating ICAAP calculations, stress testing and balance sheet planning functions in a single framework.

December 2011: Research paper
RCL staff complete research paper on "Capital and Risk in Bancassurance Organizations".

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 Risk Controller 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).