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Sector: Banks

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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December 2024

Analysis of SDR-Based Hybrid Capital for MDBs

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October 2024

MDB Risk Transfer – Business Models and Data

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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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July 2024

Calibration of a Securitisation Capital Floor

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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

July 2023

Financial Regulation and Capital Flows to EMDEs

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June 2023

MDB Portfolio Expansion – Agency Ratings and Value at Risk

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May 2023

MDB Sovereign Loan Credit Performance and PCT

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November 2022

Impact of the SA Output Floor on the European Securitisation Market

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November 2022

Comparing CB, ABS and Corporate Bond Liquidity

Building

November 2022

Issuer Perspectives: Regulatory Impact on Issuance

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June 2022

Risk Analysis for Securitisation Portfolios

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April 2022

Comparing ABS and Covered Bond Liquidity

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March 2022

ABS and Covered Bond Risk and Solvency II Capital Charges

Building

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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July 2021

ESG Strategy for Banks: Tackling the Data Problem

Oil Platform

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

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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April 2020

Predicting Default for UK SMEs Using Companies House Data

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February 2020

Lectures on Securitisation: Regulation and Practice

July 2019

Top-down and Performance-based SME Probabilities of Default

April 2019

Survey on the Impact of MiFID II on European Investment Research

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September 2018

Implementation of SEC-IRBA by European Banks

Houses

July 2017

Capital and Risk in Bancassurance Organisations

London Skyline: Gherkin and other buildings

July 2017

Rating Correlations and Macro Stress Testing

July 2016

The 5 Percent Securitisation Retention Threshold – A Short Technical History

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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August 2015

The EBA’s Proposed Capital Rules for Qualifying Securitisations

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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

May 2015

Consultation Response on EU Framework for Simple, Transparent and Standardised Securitisation

April 2015

Default Probability Risk and Securitisation Capital

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April 2015

Response to BCBS Consultation on Revised Credit Risk SA

February 2015

Response to BCBS-IOSCO Consultation

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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December 2014

AFA Capital – An Introduction

September 2014

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

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August 2014

Case Study on Consistent Scenario Expansion

August 2014

Quantitative Impacts of BCBS 269 Securitisation Capital Approaches

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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

February 2014

Reducing the Reliance of Securitisation Capital on Agency Ratings

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January 2014

Covered Bond versus ABS Liquidity

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