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Category: Credit Risk

March 2025

How to Calibrate Securitisation Capital Rules

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January 2025

Capital Adequacy Benchmarking for MDBs

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January 2025

Data Template for MDB Loans

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January 2025

Regulatory Data Requirements for Securitisation Investors

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December 2024

Analysis of SDR-Based Hybrid Capital for MDBs

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November 2024

Counterparty Risk in MDB EEAs

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October 2024

MDB Risk Transfer – Business Models and Data

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October 2024

Risk Transfer Efficiency for MDBs

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October 2024

Fair Pricing of MDB Sovereign Loans

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September 2024

Quantifying Preferred Creditor Treatment by Rating Grade

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August 2024

Innovative Deals in Development Finance: Originate to Demonstrate (O2D)

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August 2024

European Competitiveness and Securitisation Regulations

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May 2024

Rethinking the Securitisation Risk Weight Floor

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August 2023

Risk Control Projects on MDB Risk Transfer and Risk Benchmarking

May 2023

MDB Sovereign Loan Credit Performance and PCT

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June 2022

Risk Analysis for Securitisation Portfolios

Construction site

February 2022

ESG and Credit Rating Correlations

December 2021

Capital Consumption-Based Limits: Integrating Limit and Capital Software Systems

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November 2021

Risk Transfer for Multilateral Development Banks: Obstacles and Potential

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January 2021

Infrastructure Debt Capital Charges for Insurers

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November 2020

Global Credit Market Update: November 2020

September 2020

Regional Bank Default Probabilities in the Covid-19 Crisis

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August 2020

Covid-19 Credit Market Dashboard

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July 2020

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

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June 2020

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

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June 2020

Updated Note on Real-Time Sovereign Ratings

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May 2020

Real-Time Sovereign Ratings in the COVID-19 Crisis

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May 2020

Updated Report on Capital Floors, the Revised SA and the Cost of Loans

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July 2019

Top-down and Performance-based SME Probabilities of Default

September 2018

Implementation of SEC-IRBA by European Banks

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July 2017

Capital and Risk in Bancassurance Organisations

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July 2017

Rating Correlations and Macro Stress Testing

July 2016

Solvency II Capital Calibration for Securitisations

EU flags outside European Commission building

July 2016

Multilateral Development Bank Ratings and Preferred Creditor Status

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May 2016

Scenario-based RORC Optimisation for a Bank Loan Book

April 2016

Update on Capital Floors, the Revised SA and the Cost of Loans in Switzerland

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February 2016

Top Down Stress Testing for Bank Financial Statements: A Case Study

October 2015

Comments on the Commission’s Proposals for Reviving the European Securitisation Market

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June 2015

How European securitisation could assist SME financing

June 2015

Capital Floors, the Revised SA and the Cost of Loans in Switzerland

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May 2015

Comparing Bank Risk Measures

April 2015

Default Probability Risk and Securitisation Capital

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February 2015

Case Study on Stress Testing for an Asset Manager-Private Bank

February 2015

Comment on Antoniades and Tarashev

December 2014

How to Revive the European Securitisation Market: a Proposal for a European SSFA

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September 2014

Securitisation Purchases by the ECB – What is “Senior Enough”?

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July 2014

High Quality Securitisation: An Empirical Analysis of the PCS Definition

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June 2014

Case Study on Banking System Stress Testing

April 2014

Calibration of the CMA and Regulatory Capital for Securitisations

March 2014

Calibration of the Simplified Supervisory Formula Approach

September 2013

Granularity, Heterogeneity and Securitisation Capital

September 2013

Maturity Effects in Securitisation Capital: Total Capital Levels and Dispersion Across Tranches

June 2013

The Simplified Arbitrage-Free Approach

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April 2013

A Principles-Based Approach to Regulatory Capital for Securitisations

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November 2012

Top Down Stress Testing for Bank Financial Statements: A Case Study

September 2010

Bank Liquidity Standards: A Microeconomic Analysis

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May 2008

Determinants of Asset-Backed Security Prices in Crisis Periods

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May 2008

Dynamic Default Rates

March 2008

Dynamic Pricing of Synthetic Collateralized Debt Obligations

September 2007

Ratings-Based Pricing and Stochastic Spreads

April 2006

Securitisations in Basel II

February 2006

The Dependence of Recovery Rates and Defaults

December 2005

Hedging and Asset Allocation for Structured Products

August 2005

Judgmental Versus Quantitative Credit Risk Measures for Sovereigns

June 2004

Capital for Structured Products

May 2004

How Risky are Structured Exposures Compared to Corporate Bonds?

January 2004

Estimation of Credit Spread Correlations

January 2002

Regulatory and ‘Economic’ Solvency Standards for Internationally Active Banks

January 2002

The Estimation of Transition Matrices for Sovereign Credit Ratings

February 2000

Estimating Volatility for Long Holding Periods