Operating successfully in illiquid markets requires intelligent use of data. Risk Control assists major bank by completing market liquidity study. Banks, Consulting, Investment Firms
News category: Banks
: Presentation on Indicators of Bond Market Liquidity
Risk Control presents on bond market liquidity to AFME’s Credit Board. Banks
: How to Analyse Risk in Securitisation Portfolios
Risk Control authors suggest a rigorous method for calculating risk in securitisation portfolios, permitting investors to profit from relatively high returns offered by these portfolios while maintaining a cautious and prudent approach to risk. Banks, Investment Firms, Research, Software
: SSRN top ten list
Risk Control paper, “Capital Floors, the Revised SA and the Cost of Loans in Switzerland”, makes SSRN ‘s PSN: Global Banking Top Ten download list. Banks, Research
: Modelling innovation
Risk Control introduces Bayesian layer in the statistical macroeconomic model it employs for stress testing and scenario generation. This approach permits users to combine evidence from historical experience with prior views on macroeconomic impacts to create and manipulate robust and intuitive scenarios in a flexible fashion. Banks, Consulting, Investment Firms, Research, Software
: Global Risk Regulator article
Global Risk Regulator article on securitisation and 5% retention issue makes use of Risk Control paper on the 5% threshold, quoting Director William Perraudin and BNP Paribas co-authors. Banks, Media
: Reverse Stress Testing
Risk Control develops new reverse stress testing approaches to assist clients in stress test design. Banks, Consulting, Investment Firms, Research, Software
: Stress Controller methodology
Risk Control enhances the methodology of its Stress Controller software to accommodate the current low interest rate environment. Banks, Research, Software
: European Commission project
Risk Control wins tender for project on the drivers of corporate bond market liquidity for European Commission’s DG FISMA, the Directorate-General for Financial Stability, Financial Services and Capital Markets Union. Banks, Consulting, Research
: MDB ratings research
Risk Control publishes paper analysing influences on Multilateral Development Bank credit standing including the market practice known as Preferred Creditor Status. Banks, Research
: After Basel 3 – Building capital rules that make sense
Risk Control’s William Perraudin and BNP Paribas co-authors describe alternative basis for securitisation capital and argue that the Pool Capital Multiplier Approach (PCMA) represents a better way of developing capital rules for securitisations in a recent presentation.
: Return on Regulatory Capital note
Risk Control publishes a note showing how banks may use top down analysis of their assets to optimise the Return on Regulatory Capital (RORC). Banks, Consulting, Research, Software