See all

Sector: Public Institutions

November 2022

Impact of the SA Output Floor on the European Securitisation Market

EU flags outside European Commission building

November 2022

Issuer Perspectives: Regulatory Impact on Issuance

oil platform bridge

July 2022

Reviving Securitisation in Europe

EU flags outside European Commission building

November 2021

Risk Transfer for Multilateral Development Banks: Obstacles and Potential

Shipping Containers

January 2021

Infrastructure Debt Capital Charges for Insurers

skyline and traffic trails on highway intersection

October 2020

The Impact of MiFID II Rules on SME and Fixed Income Investment Research

EU flags outside European Commission building

August 2020

Covid-19 Credit Market Dashboard

Fatality world map

July 2020

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

Construction site

June 2020

Updated Note on Real-Time Sovereign Ratings

Oil Platform

May 2020

Real-Time Sovereign Ratings in the COVID-19 Crisis

Shipping Containers

May 2020

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

Row of houses on a suburban road

February 2020

Lectures on Securitisation: Regulation and Practice

November 2017

Drivers of Liquidity in the EU Corporate Bond Market

Skyline of La Défense, Paris

July 2016

Multilateral Development Bank Ratings and Preferred Creditor Status

oil platform bridge

April 2016

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

Row of houses on a suburban road

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

Construction site

August 2015

The EBA’s Proposed Capital Rules for Qualifying Securitisations

EU flags outside European Commission building

June 2015

How European securitisation could assist SME financing

June 2015

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

Row of houses on a suburban road

May 2015

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

April 2015

Default Probability Risk and Securitisation Capital

Industrial manufacturing of car bodies

April 2015

Response to BCBS Consultation on Revised Credit Risk SA

February 2015

Response to BCBS-IOSCO Consultation

February 2015

Comment on Antoniades and Tarashev

December 2014

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

Two warehouse workers moving boxes

December 2014

AFA Capital – An Introduction

September 2014

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

Row of houses on a suburban road

August 2014

Case Study on Consistent Scenario Expansion

August 2014

Quantitative Impacts of BCBS 269 Securitisation Capital Approaches

Two pipeline engineers performing maintenance

June 2014

Case Study on Banking System Stress Testing

February 2014

Reducing the Reliance of Securitisation Capital on Agency Ratings

inside of a factory

September 2013

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

April 2013

A Principles-Based Approach to Regulatory Capital for Securitisations

European Central Bank at sunset

May 2008

Dynamic Default Rates

September 2007

Ratings-Based Pricing and Stochastic Spreads

April 2006

Securitisations in Basel II

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