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All Insights & Ideas

November 2024

Counterparty Risk in MDB EEAs

London Skyline: Gherkin and other buildings

October 2024

MDB Risk Transfer – Business Models and Data

Construction site

October 2024

Risk Transfer Efficiency for MDBs

Oil Platform

October 2024

Fair Pricing of MDB Sovereign Loans

oil platform bridge

October 2024

Quantifying Preferred Creditor Treatment by Rating Grade

Shipping Containers

August 2024

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

Tunnel

August 2024

European Competitiveness and Securitisation Regulations

EU flags outside European Commission building

July 2024

Calibration of a Securitisation Capital Floor

EU flags outside European Commission building

May 2024

Rethinking the Securitisation Risk Weight Floor

Construction site

September 2023

New World Bank Studies by Risk Control

oil platform bridge

August 2023

Risk Control Projects on MDB Risk Transfer and Risk Benchmarking

July 2023

Financial Regulation and Capital Flows to EMDEs

containers

June 2023

MDB Portfolio Expansion – Agency Ratings and Value at Risk

Oil Platform

May 2023

MDB Sovereign Loan Credit Performance and PCT

Construction site

November 2022

Impact of the SA Output Floor on the European Securitisation Market

EU flags outside European Commission building

November 2022

Comparing CB, ABS and Corporate Bond Liquidity

Building

November 2022

Issuer Perspectives: Regulatory Impact on Issuance

oil platform bridge

July 2022

Reviving Securitisation in Europe

EU flags outside European Commission building

June 2022

Risk Analysis for Securitisation Portfolios

Construction site

April 2022

Comparing ABS and Covered Bond Liquidity

Shipping

March 2022

ABS and Covered Bond Risk and Solvency II Capital Charges

Building

February 2022

ESG and Credit Rating Correlations

Oil rigs

December 2021

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

oil platform bridge

November 2021

Risk Transfer for Multilateral Development Banks: Obstacles and Potential

Shipping Containers

July 2021

ESG Strategy for Banks: Tackling the Data Problem

Oil Platform

January 2021

Infrastructure Debt Capital Charges for Insurers

skyline and traffic trails on highway intersection

November 2020

Global Credit Market Update: November 2020

Oil rigs

October 2020

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

EU flags outside European Commission building

September 2020

Regional Bank Default Probabilities in the Covid-19 Crisis

London Skyline: Gherkin and other buildings

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

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

Container Ship

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

April 2020

Predicting Default for UK SMEs Using Companies House Data

Tunnel

February 2020

Lectures on Securitisation: Regulation and Practice

July 2019

Top-down and Performance-based SME Probabilities of Default

Oil rigs

April 2019

Survey on the Impact of MiFID II on European Investment Research

EU flags outside European Commission building

September 2018

Implementation of SEC-IRBA by European Banks

Houses

May 2018

Forecasting Assets under Management for Stress Testing and Strategy Purposes

Oil Platform

November 2017

Drivers of Liquidity in the EU Corporate Bond Market

Skyline of La Défense, Paris

July 2017

Capital and Risk in Bancassurance Organisations

London Skyline: Gherkin and other buildings

July 2017

Rating Correlations and Macro Stress Testing

Oil rigs

July 2016

Solvency II Capital Calibration for Securitisations

EU flags outside European Commission building

July 2016

The 5 Percent Securitisation Retention Threshold – A Short Technical History

July 2016

Multilateral Development Bank Ratings and Preferred Creditor Status

oil platform bridge

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

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

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

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

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

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

July 2014

High Quality Securitisation: An Empirical Analysis of the PCS Definition

Worker in front of part-assembled car

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

inside of a factory

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

Marriner S. Eccles Federal Reserve Board Building

April 2013

A Principles-Based Approach to Regulatory Capital for Securitisations

European Central Bank at sunset

November 2012

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

September 2010

Bank Liquidity Standards: A Microeconomic Analysis

New York Stock Exchange, Wall St.

May 2008

Determinants of Asset-Backed Security Prices in Crisis Periods

Row of houses on a suburban road

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