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Insights
- A Principles-Based Approach to Regulatory Capital for Securitisations
- ABS and Covered Bond Risk and Solvency II Capital Charges
- AFA Capital – An Introduction
- Bank Liquidity Standards: A Microeconomic Analysis
- Calibration of a Securitisation Capital Floor
- Calibration of the CMA and Regulatory Capital for Securitisations
- Calibration of the Simplified Supervisory Formula Approach
- Capital and Risk in Bancassurance Organisations
- Capital Consumption-Based Limits: Integrating Limit and Capital Software Systems
- Capital Floors, the Revised SA and the Cost of Loans in Switzerland
- Capital for Structured Products
- Case Study on Banking System Stress Testing
- Case Study on Consistent Scenario Expansion
- Case Study on Stress Testing for an Asset Manager-Private Bank
- Comment on Antoniades and Tarashev
- Comments on the Commission’s Proposals for Reviving the European Securitisation Market
- Comparing ABS and Covered Bond Liquidity
- Comparing Bank Risk Measures
- Comparing CB, ABS and Corporate Bond Liquidity
- Consultation Response on EU Framework for Simple, Transparent and Standardised Securitisation
- Covered Bond versus ABS Liquidity
- Covid-19 Credit Market Dashboard
- Covid-19 Crisis Update: What happened to Sovereign Credit Quality in July?
- Default Probability Risk and Securitisation Capital
- Determinants of Asset-Backed Security Prices in Crisis Periods
- Drivers of Liquidity in the EU Corporate Bond Market
- Dynamic Default Rates
- Dynamic Pricing of Synthetic Collateralized Debt Obligations
- ESG and Credit Rating Correlations
- ESG Strategy for Banks: Tackling the Data Problem
- Estimating Volatility for Long Holding Periods
- Estimation of Credit Spread Correlations
- Financial Regulation and Capital Flows to EMDEs
- Forecasting Assets under Management for Stress Testing and Strategy Purposes
- Gainers and the Losers: Real-Time Industry PDs in the Covid-19 Crisis
- Global Credit Market Update: November 2020
- Granularity, Heterogeneity and Securitisation Capital
- Hedging and Asset Allocation for Structured Products
- High Quality Securitisation: An Empirical Analysis of the PCS Definition
- How European securitisation could assist SME financing
- How Risky are Structured Exposures Compared to Corporate Bonds?
- How to Revive the European Securitisation Market: a Proposal for a European SSFA
- Impact of the SA Output Floor on the European Securitisation Market
- Implementation of SEC-IRBA by European Banks
- Infrastructure Debt Capital Charges for Insurers
- Issuer Perspectives: Regulatory Impact on Issuance
- Judgmental Versus Quantitative Credit Risk Measures for Sovereigns
- Lectures on Securitisation: Regulation and Practice
- Maturity Effects in Securitisation Capital: Total Capital Levels and Dispersion Across Tranches
- MDB Portfolio Expansion – Agency Ratings and Value at Risk
- MDB Sovereign Loan Credit Performance and PCT
- Multilateral Development Bank Ratings and Preferred Creditor Status
- New World Bank Studies by Risk Control
- Predicting Default for UK SMEs Using Companies House Data
- Quantitative Impacts of BCBS 269 Securitisation Capital Approaches
- Rating Correlations and Macro Stress Testing
- Ratings-Based Pricing and Stochastic Spreads
- Real-Time Sovereign Ratings in the COVID-19 Crisis
- Reducing the Reliance of Securitisation Capital on Agency Ratings
- Regional Bank Default Probabilities in the Covid-19 Crisis
- Regulatory and ‘Economic’ Solvency Standards for Internationally Active Banks
- Response to BCBS Consultation on Revised Credit Risk SA
- Response to BCBS-IOSCO Consultation
- Rethinking the Securitisation Risk Weight Floor
- Reviving Securitisation in Europe
- Risk Analysis for Securitisation Portfolios
- Risk Control Projects on MDB Risk Transfer and Risk Benchmarking
- Risk Transfer for Multilateral Development Banks: Obstacles and Potential
- Scenario-based RORC Optimisation for a Bank Loan Book
- Securitisation Purchases by the ECB – What is “Senior Enough”?
- Securitisations in Basel II
- Solvency II Capital Calibration for Securitisations
- Survey on the Impact of MiFID II on European Investment Research
- The 5 Percent Securitisation Retention Threshold – A Short Technical History
- The Dependence of Recovery Rates and Defaults
- The EBA’s Proposed Capital Rules for Qualifying Securitisations
- The Estimation of Transition Matrices for Sovereign Credit Ratings
- The Impact of MiFID II Rules on SME and Fixed Income Investment Research
- The Simplified Arbitrage-Free Approach
- Top Down Stress Testing for Bank Financial Statements: A Case Study
- Top Down Stress Testing for Bank Financial Statements: A Case Study
- Top-down and Performance-based SME Probabilities of Default
- Update on Capital Floors, the Revised SA and the Cost of Loans in Switzerland
- Updated Note on Real-Time Sovereign Ratings
- Updated Report on Capital Floors, the Revised SA and the Cost of Loans
Posts
Asset Managers
- Cloud-based software hosting for Risk Control software using Microsoft Azure
- European Commission publishes Risk Control study on the current state of investment research across EU countries
- New Non-Financial Risk Capital software completed
- RC-Capital Model Video
- Regional Bank Default Probabilities in the Covid-19 Crisis
- Revamped Software Offerings
Banks
- 2016 EBA Stress Testing Tool
- After Basel 3 – Building capital rules that make sense
- Annual Rating Agency Review
- Article in Risk magazine
- Bank ESG Data Strategies
- Best Practice in Model Documentation
- BIAC-G20 Paris conference
- Brussels conference
- Brussels presentation on bond market liquidity
- Bundesbank Conference
- Capital and Risk in Bancassurance Organisations
- Capital Floors, the Revised SA and the Cost of Loans in Switzerland
- Cloud-based software hosting for Risk Control software using Microsoft Azure
- Comment on EBA proposal
- Comments on the Commission’s proposals
- Conference in Frankfurt
- Conservative Monotone Approach Update
- Corporate Bond Liquidity Presentation to EC Experts
- Covid-19 Credit Market Dashboard
- Credit correlation project
- Dashboard Software
- Default Probability Risk and Securitisation Capital
- EBA Board of Supervisors
- EBA presentation
- ESG Analysis
- EU Consultation Response
- European Commission project
- European Commission publishes Risk Control study on corporate bond market liquidity
- European Money and Finance Forum conference
- Financial planning and stress testing case study
- Finanz und Wirtschaft interview
- Florence presentation on Non-Performing Loans
- Frankfurt presentation on bond market liquidity
- Global ABS presentation
- Global Credit Market Update
- Global Risk Regulator article
- Global Risk Regulator article
- How to Analyse Risk in Securitisation Portfolios
- Hybrid Capital Analysis
- Innovative approaches to integrating Limit and Capital Software Systems
- Integration of RC-Limit System and RC-Capital Model
- Liquidity Study for Major bank
- Liquidty presentation at Frankfurt asset managers conference
- Market Liquidity Project
- MDB Portfolio Expansion study
- MDB ratings research
- MDB Sovereign Loan Credit Performance and PCT
- Milan presentation on business implications of market illiquidity
- Modelling innovation
- New Non-Financial Risk Capital software completed
- New software for calculating credit scores
- Paris presentation on bond market liquidity
- PCS commend Risk Control paper
- Presentation on Corporate Bond Market Liquidity
- Presentation on ESG and Credit Rating Correlations
- Presentation on Indicators of Bond Market Liquidity
- Presentation on Model Risk in Prometeia webinar
- Presentation to Bank CROs
- Presentation to the European Commission
- Press Release: New World Bank Studies
- Pricing Tool Update and Training by Risk Control
- Provisions Forecasting Under Stress
- Rating Correlations and Macro Stress Testing
- Regional Bank Default Probabilities in the Covid-19 Crisis
- Research on Rethinking the Securitisation Risk Weight Floor
- Research report on ESG and Credit Rating Correlations
- Response to BCBS-IOSCO consultation
- Response to EBA consultation
- Return on Regulatory Capital note
- Revamped Software Offerings
- Reverse Stress Testing
- Risk Control Assists G20 Expert Panel
- Risk Control comments on EBA Technical Standards
- Risk Control completes case study on risk transfer transactions
- Risk Control consults on credit limits
- Risk Control consults on risk appetite policies and limit setting
- Risk Control presents at European Money and Finance Forum
- Risk Control presents to EBA on regulatory issues
- Risk magazine article
- Risk Management Course
- Risk Methodology training
- Risk Transfer Deals
- Scenario Analysis for Multilaterals
- Scenario Frame software announced by Risk Control
- Services developments
- SSRN top ten list
- Stress Controller methodology
- Stress Testing Software Enhancements
- Study of MDB Preferred Creditor Treatment for sovereign loans by rating
- Support for Significant Risk Transfer (SRT) Deals
- Swiss presentation
- Treasury Limits
- Update to study
- Wharton School Symposium
- World Bank Forum
Consulting
- 2016 EBA Stress Testing Tool
- Analytical Support for Significant Risk Transfer (SRT) Trades
- Annual Rating Agency Review
- Backtesting Counterparty Exposure Models
- Best Practice in Model Documentation
- Covid-19 portfolio reviews for banks
- Credit correlation project
- ESG Analysis
- European Commission project
- Hybrid Capital Analysis
- ICAAP assessments
- IFRS 9/CECL analysis
- Liquidity Analysis by Asset Class
- Liquidty presentation at Frankfurt asset managers conference
- Market Liquidity Project
- MiFID II Tender
- Modelling innovation
- Press Release: New World Bank Studies
- Pricing Tool Update and Training by Risk Control
- Research on Rethinking the Securitisation Risk Weight Floor
- Return on Regulatory Capital note
- Reverse Stress Testing
- Risk Control Assists G20 Expert Panel
- Risk Control comments on EBA Technical Standards
- Risk Control completes case study on risk transfer transactions
- Risk Control completes major study on the impact of MiFID II rules
- Risk Control completes study on infrastructure debt capital charges
- Risk Control consults on credit limits
- Risk Control consults on risk appetite policies and limit setting
- Risk Control devises credit limits
- Risk Methodology training
- Risk Transfer Deals
- Services developments
- Study for GFMA
- Study of MDB Preferred Creditor Treatment for sovereign loans by rating
- Study of sovereign bond liquidity in Europe
- Study on High Quality Securitisations
- Support for Significant Risk Transfer (SRT) Deals
- Survey on Investment Research
- Tools for Risk Based Pricing of Loans
- Treasury Limits
- Validation of Sovereign Rating Model
Corporate
Credit Risk
- Covid-19 Credit Market Dashboard
- Gainers and the Losers: Real-Time Industry PDs in the Covid-19 Crisis
- Global Credit Market Update
- Limit System Software
- Presentation on ESG and Credit Rating Correlations
- Presentation to Bank CROs
- RC-Capital Model Video
- Regional Bank Default Probabilities in the Covid-19 Crisis
- Research on Rethinking the Securitisation Risk Weight Floor
- Research report on ESG and Credit Rating Correlations
- Risk Control presents to EBA on regulatory issues
ESG
Events
- BIAC-G20 Paris conference
- Brussels conference
- Brussels presentation on bond market liquidity
- Brussels presentation on bond market liquidity
- Bundesbank Conference
- Conference in Frankfurt
- Conservative Monotone Approach Update
- EBA Board of Supervisors
- EBA presentation
- EIF workshop
- European Money and Finance Forum conference
- Liquidty presentation at Frankfurt asset managers conference
- Operational risk
- Presentation at a conference
- Presentation at a conference
- Presentation at Global ABS
- Presentation on ESG and Credit Rating Correlations
- Presentation on the Role of Securitisation
- Public Discussion on Risk Control’s MDB Risk Transfer and Risk Benchmarking Solutions
- Risk Management Course
- Securitisation presentation at EPFSF seminar
- SME financing insight
- Swiss presentation
- Website redesign
- Wharton School Symposium
- World Bank Forum
Insurers
- Capital and Risk in Bancassurance Organisations
- Covid-19 Credit Market Dashboard
- European Commission publishes Risk Control study on corporate bond market liquidity
- Frankfurt presentation on bond market liquidity
- Global ABS presentation
- Innovative approaches to integrating Limit and Capital Software Systems
- Paris presentation on bond market liquidity
- Presentation on Corporate Bond Market Liquidity
- Presentation to the European Commission
- Regional Bank Default Probabilities in the Covid-19 Crisis
- Revamped Software Offerings
- Risk Control completes study on infrastructure debt capital charges
- Risk Control presents at European Money and Finance Forum
- Scenario Frame software announced by Risk Control
- Tools for Risk Based Pricing of Loans
Investment Firms
- Corporate Bond Liquidity Presentation to EC Experts
- Covid-19 Credit Market Dashboard
- Dashboard Software
- European Commission publishes Risk Control study on corporate bond market liquidity
- European Commission publishes Risk Control study on the current state of investment research across EU countries
- Financial planning and stress testing case study
- Forecasting Assets under Management for Stress Testing and Strategy Purposes
- Frankfurt presentation on bond market liquidity
- Global Credit Market Update
- How to Analyse Risk in Securitisation Portfolios
- ICAAP analysis training
- ICAAP assessments
- ICAAP for asset managers
- Integration of RC-Limit System and RC-Capital Model
- Market Liquidity Project
- MDB Sovereign Loan Credit Performance and PCT
- MiFID II Tender
- Milan presentation on business implications of market illiquidity
- Modelling innovation
- New modelling approach
- New software for calculating credit scores
- Operational risk
- Paris presentation on bond market liquidity
- Presentation on Corporate Bond Market Liquidity
- Presentation to the European Commission
- Provisions Forecasting Under Stress
- Rating Correlations and Macro Stress Testing
- RC-Capital Model Video
- Revamped Software Offerings
- Reverse Stress Testing
- Risk Control presents at European Money and Finance Forum
- Risk Methodology training
- Scenario Frame software announced by Risk Control
- Software enhancements
- Stress Testing Software Enhancements
- Tools for Risk Based Pricing of Loans
- Training in ALM Techniques
- Training on Cutting Edge ICAAP Methods for Asset Managers
Liquidity
- European Commission publishes Risk Control study on corporate bond market liquidity
- Frankfurt presentation on bond market liquidity
- Liquidity Analysis by Asset Class
- Liquidity in ABS, Covered Bond and Corporate Bond Markets
- Liquidity Study for Major bank
- Liquidty presentation at Frankfurt asset managers conference
- Milan presentation on business implications of market illiquidity
- Paris presentation on bond market liquidity
- Risk Control presents at European Money and Finance Forum
- Risk Control study featured in ICMA Quarterly Report
Market Risk
- European Commission publishes Risk Control study on corporate bond market liquidity
- Frankfurt presentation on bond market liquidity
- Liquidity Study for Major bank
- Liquidty presentation at Frankfurt asset managers conference
- Milan presentation on business implications of market illiquidity
- Paris presentation on bond market liquidity
- Risk Control presents at European Money and Finance Forum
- Scenario Frame software announced by Risk Control
Media
- Article in Risk magazine
- Brussels presentation on bond market liquidity
- CNBC interview
- Financial Times article
- Finanz und Wirtschaft interview
- Global Risk Regulator article
- Global Risk Regulator article
- Liquidty presentation at Frankfurt asset managers conference
- Podcast on securitisation market and its regulation
- Risk Control on Twitter
- Risk Control study featured in ICMA Quarterly Report
- Risk magazine article
- Swiss presentation
Presentation
Public Institutions
- Brussels presentation on bond market liquidity
- Cloud-based software hosting for Risk Control software using Microsoft Azure
- Corporate Bond Liquidity Presentation to EC Experts
- Covid-19 Credit Market Dashboard
- European Commission publishes Risk Control study on the current state of investment research across EU countries
- MDB Sovereign Loan Credit Performance and PCT
- MiFID II Tender
- Press Release: New World Bank Studies
- Research on Rethinking the Securitisation Risk Weight Floor
- Reviving Securitisation in Europe
- Securitisation presentation at EPFSF seminar
- Securitisation Risk Briefing
Recruitment
Regulation
- Capital and Risk in Bancassurance Organisations
- European Commission publishes Risk Control study on corporate bond market liquidity
- European Commission publishes Risk Control study on the current state of investment research across EU countries
- Frankfurt presentation on bond market liquidity
- Global ABS presentation
- Impact of the SA Output Floor on the European Securitisation Market
- MiFID II Tender
- Paris presentation on bond market liquidity
- Presentation on Corporate Bond Market Liquidity
- Presentation on Model Risk in Prometeia webinar
- Presentation to the European Commission
- Research on Rethinking the Securitisation Risk Weight Floor
- Reviving Securitisation in Europe
- Risk Control comments on EBA Technical Standards
- Risk Control completes study on infrastructure debt capital charges
- Risk Control presents at European Money and Finance Forum
- Risk Control presents to EBA on regulatory issues
- Risk Control study featured in ICMA Quarterly Report
Research
- 2016 EBA Stress Testing Tool
- After Basel 3 – Building capital rules that make sense
- Capital Floors, the Revised SA and the Cost of Loans in Switzerland
- Comments on the Commission’s proposals
- Covid-19 Crisis Update: What Happened to Sovereign Credit Quality in July?
- Default Probability Risk and Securitisation Capital
- EIF workshop
- European Commission project
- Forecasting Assets under Management for Stress Testing and Strategy Purposes
- Gainers and the Losers: Real-Time Industry PDs in the Covid-19 Crisis
- How to Analyse Risk in Securitisation Portfolios
- Impact of the SA Output Floor on the European Securitisation Market
- Innovative approaches to integrating Limit and Capital Software Systems
- Liquidity in ABS, Covered Bond and Corporate Bond Markets
- MDB Portfolio Expansion study
- MDB ratings research
- Modelling innovation
- New computer vision techniques for reading image data
- New modelling approach
- PCS commend Risk Control paper
- Predicting Default for UK SMEs Using Companies House Data
- Press Release: New World Bank Studies
- Provisions Forecasting Under Stress
- Rating Correlations and Macro Stress Testing
- Real-time monitoring of credit portfolios in the Covid-19 crisis
- Real-time ratings in the Covid-19 crisis
- Real-Time Sovereign Ratings Update
- Relative Liquidity of European ABS and CBs
- Research paper
- Return on Regulatory Capital note
- Reverse Stress Testing
- Risk Control completes case study on risk transfer transactions
- SME financing insight
- Solvency II paper
- Solvency II rules for securitisations and Covered Bonds
- SSRN top ten list
- Stress Controller methodology
- Study for GFMA
- Study on alternative for securitisation capital
- Study on High Quality Securitisations
- Study on High Quality Securitisations
- Study on Securitisation Purchases by the ECB
- Top-down and Performance-based SME Default Probabilities
- Update to study
Risk Methods
Securitisation
Software
- 2016 EBA Stress Testing Tool
- Cloud-based software hosting for Risk Control software using Microsoft Azure
- Connectivity software
- Connectivity software
- Dashboard Software
- Data integration solution by Risk Control
- Enhancement to Limit System
- Financial planning and stress testing case study
- How to Analyse Risk in Securitisation Portfolios
- ICAAP for asset managers
- Innovative approaches to integrating Limit and Capital Software Systems
- Integration of RC-Limit System and RC-Capital Model
- Limit System Software
- Microservices Architecture
- Modelling innovation
- New financial engineerig software: Risk Frame
- New Non-Financial Risk Capital software completed
- New software for calculating credit scores
- New software for central hosting of pricing algorithms
- New software for connecting investors to originators in the loan market
- Quant Suite Portal software
- RC-Capital Model Video
- Return on Regulatory Capital note
- Revamped Software Offerings
- Reverse Stress Testing
- Risk Based Pricing Software
- Scenario Analysis for Multilaterals
- Scenario Frame software announced by Risk Control
- Software developments
- Software enhancements
- Stress Controller enhancements
- Stress Controller enhancements
- Stress Controller methodology
- Stress Testing Software Enhancements
- Tools for ALM analysis