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.
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.
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.
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.
Risk Control completes detailed analysis of the Solvency II capital rules for securitisations held by European insurers.
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.
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, ResearchRisk 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, ResearchRisk Control updates its analysis of the sovereign ratings and PDs implied by CDS spreads.
Rating, ResearchRisk Control publishes a new study on real-time sovereign ratings in the Covid-19 crisis
ResearchRisk Control develops methodologies for real time risk monitoring of multi-sector and country credit portfolios in the Covid-19 crisis
ResearchRisk Control publishes note on how to use Rating Engine to estimate probabilities of default (PD) for UK companies
ResearchRisk Control develops computer vision techniques for reading data from image files
Research