New research paper issued examining the impact on the European securitisation market of the introduction by regulators of the Standardised Approach (SA) Output Floor.
Research paper available here.
News
: Liquidity in ABS, Covered Bond and Corporate Bond Markets
Risk Control completes a new research note examining the relative liquidity of Asset Backed Securities (ABS), Covered Bonds (CBs) and Corporate Bonds (Corps).
The note is available here.
: Enhancement to Limit System
Risk Control completes series of major enhancements to its RC-Limit System software, facilitating the convenient specification of a wider set of limits.
A brief description of RC-Limit System can be found here.
See Risk Control’s software suite here.
: Liquidity Analysis by Asset Class
Risk Control completes analysis of liquidity for different asset classes, providing evidence for regulators framing liquidity rules for banks. Consulting, Liquidity
: Support for Significant Risk Transfer (SRT) Deals
Risk Control supports investors evaluating risk transfer deals, combining risk and pricing analyses. Banks, Consulting
: Tools for Risk Based Pricing of Loans
Risk Control supports a major credit fund in developing Risk Based Pricing (RBP) tools for evaluating new deals. Consulting, Insurers, Investment Firms
: Risk Control Assists G20 Expert Panel
The Risk Control team led by William Perraudin assisted the G20 mandated Expert Panel for Multilateral Development Banks’ Capital Adequacy Frameworks by analysing historical data on MDB loan performance. The work forms part of the recently published Independent Review of Multilateral Development Banks’ Capital Adequacy Frameworks.
The report has some key recommendations that could significantly boost existing MDB lending capacity.
: Annual Rating Agency Review
Risk Control assist a client in covering the topics of their annual review meeting with a rating agency.
: Pricing Tool Update and Training by Risk Control
Risk Control assists a client in the modification of certain aspects of their Risk Based Pricing (RBP) Model and delivers training on the use of the updated pricing tool.
: Reviving Securitisation in Europe
Risk Control completes a research note on capital-input scaling for the Simplified Supervisory Formula Approach (SSFA). Research note available here.
: Best Practice in Model Documentation
Risk Control completes work on model documentation standards and helps a firm with its documents.
: Presentation on the Role of Securitisation
Risk Control spoke at the AFME and Paris EUROPLACE Securitisation Forum on the need to revisit Europe’s prudential regulation for securitisation.
See more about the event, including the agenda, here.
Video recording of session 3: The need to revisit aspects of prudential regulation (Risk Control presentation from 19:41)