August 2022: Risk Control Assists G20 Expert Panel
The Risk Control team led by William Perraudin assisted the G20 mandated Expert Panel for Multilateral Development Banks’ Capital Adequacy Frameworks by analysing historical data on MDB loan performance. The work forms part of the recently published
Independent Review of Multilateral Development Banks’ Capital Adequacy Frameworks.
The report has some key recommendations that could significantly boost existing MDB lending capacity.
August 2022: Annual Rating Agency Review
Risk Control assist a client in covering the topics of their annual review meeting with a rating agency.
Banks, Consulting, Rating
July 2022: Pricing Tool Update and Training by Risk Control
Risk Control assists a client in the modification of certain aspects of their Risk Based Pricing (RBP) Model and delivers training on the use of the updated pricing tool.
Banks, Consulting, Training
July 2022: Reviving Securitisation in Europe
Risk Control completes a research note on capital-input scaling for the Simplified Supervisory Formula Approach (SSFA). Research note available
Public Institutions, Regulation, Securitisation
June 2022: Best Practice in Model Documentation
Risk Control completes work on model documentation standards and helps a firm with its documents.
June 2022: Presentation on the Role of Securitisation
Risk Control spoke at the
AFME and Paris EUROPLACE Securitisation Forum on the need to revisit Europe’s prudential regulation for securitisation.
See more about the event, including the agenda, here.
Video recording of
session 3: The need to revisit aspects of prudential regulation (Risk Control presentation from 19:41)
May 2022: Liquidity Coverage Ratio Analysis
Risk Control presents analysis of the changing nature of securitisation and Covered Bond liquidity to regulators considering Liquidity Coverage Ratio reforms.
May 2022: Relative Liquidity of European ABS and CBs
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.
May 2022: Solvency II rules for securitisations and Covered Bonds
Risk Control completes detailed analysis of the Solvency II capital rules for securitisations held by European insurers.
May 2022: IFRS 9/CECL analysis
Risk Control develops ECL calculation tools for IFRS 9 and CECL analysis.
April 2022: Backtesting Counterparty Exposure Models
Risk Control develops new methodology for backtesting counterparty exposure models.
April 2022: Presentation on ESG and Credit Rating Correlations
Risk Control Director, William Perraudin, presents a new research report on
ESG and Credit Rating Correlations in a Bank of Italy webinar.
Banks, Credit Risk, ESG, Events