September 2014: Study on Securitisation Purchases by the ECB
Risk Control proposes that central banks and regulators measure securitisation seniority using a formula rather than agency ratings in regulation and collateral eligibility.
August 2014: Study for GFMA
Risk Control completes study for GFMA on the quantitative impact of the Basel Committee’s proposals for securitisation capital. Click
here to read the full study. Consulting, Research
July 2014: Study on High Quality Securitisations
Risk Control publishes analysis of the risk and liquidity of High Quality Securitisations following a project commissioned by
Prime Collateralised Securities. Consulting, Research
June 2014: Presentation at Global ABS
Risk Control’s Perraudin presents at Global ABS in Barcelona on new regulatory developments for securitisations.
June 2014: Stress Controller enhancements
Risk Control completes enhancement of its
TM software permitting flexible scripted stresses to individual position data. Stress Controller Software
May 2014: Study on High Quality Securitisations
Risk Control’s Perraudin publishes a reasearch study on the risk and liquidity advantages of investing in High Quality Securitisations.
April 2014: Stress Controller enhancements
Risk Control extends user roles and security in its
TM software. Stress Controller Software
April 2014: Study on alternative for securitisation capital
Risk Control’s Perraudin and BNP Paribas co-authors issue 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: Presentation at a conference
Risk Control presents on Enterprise Risk Management implications of Defined Benefit pensions schemes to the UK Institute of Actuaries’ WMA Prudential Conference.
March 2014: Presentation at a conference
Risk Control presents on AFA at a Securitisation Event 2014 in Amsterdam.
January 2014: ICAAP assessments
Risk Control completes ICAAP risk assessments for several leading asset managers.
Consulting, Investment Firms
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.
Investment Firms, Research