Risk Control completes a research note on capital-input scaling for the Simplified Supervisory Formula Approach (SSFA). Research note available here.
News
: Best Practice in Model Documentation
Risk Control completes work on model documentation standards and helps a firm with its documents.
: 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.
Video recording of session 3: The need to revisit aspects of prudential regulation (Risk Control presentation from 19:41)
: 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.
: 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.
: 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.
: IFRS 9/CECL analysis
Risk Control develops ECL calculation tools for IFRS 9 and CECL analysis.
: Backtesting Counterparty Exposure Models
Risk Control develops new methodology for backtesting counterparty exposure models.
: 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.
: Presentation on Model Risk in Prometeia webinar
Risk Control’s William Perraudin presents on Model Risk in webinar to Italian bankers organised by Prometeia.
: Research report on ESG and Credit Rating Correlations
Risk Control publishes a report on how ESG and credit ratings move together, providing a key building block for the integrated management of ESG and credit risks in loan and bond portfolios.
: Innovative approaches to integrating Limit and Capital Software Systems
Risk Control publishes a note on how its Limit software (RC-Limit System) may be integrated with a powerful Credit Portfolio Model (RC-Capital Model), to permit the use of Economic Capital-based credit limits.