: MDB Portfolio Expansion study

The second study commissioned by the G20 Independent Review of MDBs Capital Adequacy Frameworks becomes public.

It assesses credit rating agency criteria and MDB headroom capacity.

The calculations are performed using Risk Control’s Rating Scenario System. This software replicates the full scorecard of MDB ratings for the three major rating agencies, Fitch, Moody’s and Standard & Poor’s.

  Banks, Rating, Research

: Impact of the SA Output Floor on the European Securitisation Market

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.

  Regulation, Research, Securitisation

: 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.

  Liquidity, Research

: Relative Liquidity of European ABS and CBs

Risk Control completes research showing that Asset Backed Security (ABS) liquidity has increased significantly since 2016 and now exceeds that of Covered Bonds in Europe.


: Solvency II rules for securitisations and Covered Bonds

Risk Control completes detailed analysis of the Solvency II capital rules for securitisations held by European insurers.


: Innovative approaches to integrating Limit and Capital Software Systems

Risk Control publishes a note on how its Limit software (RC-Limit System) may be integrated with a powerful Credit Portfolio Model (RC-Capital Model), to permit the use of Economic Capital-based credit limits.

  Banks, Insurers, Research, Software

: Covid-19 Crisis Update: What Happened to Sovereign Credit Quality in July?

In our new note we estimate Probabilities of Default (PDs) from Credit Default Swap (CDS) spreads and infer real time ratings for July 2020.

Rating, Research

: Gainers and the Losers: Real-Time Industry PDs in the Covid-19 Crisis

Risk Control publishes a new note showing how representative probabilities of default (PDs) for individual industry sectors have evolved since the crisis began. The techniques applied permit one to refresh PD estimates in real time and, hence, offer extremely timely information about the state of corporate credit.

Credit Risk, Research

: Real-time ratings in the Covid-19 crisis

Risk Control publishes a new study on real-time sovereign ratings in the Covid-19 crisis


: Real-time monitoring of credit portfolios in the Covid-19 crisis

Risk Control develops methodologies for real time risk monitoring of multi-sector and country credit portfolios in the Covid-19 crisis