Risk Control publishes a note on parameter risk in credit risk capital with an application to securitisation exposures. Note available here. Banks, Research
News category: Research
: EIF workshop
Risk Control and co-authors give Securitisation workshop at the European Investment Fund, Luxembourg. Events, Research
: Research paper
Risk Control publishes assessment paper of how regulators could revive the European securitisation market by adjusting capital charges for High Quality Securitisations. Research
: 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. Research
: 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
: 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
: 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. Research
: 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”. Research
: 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