Risk Control publishes research showing how judicious rule and governance changes could expand the securitisation market and boost European competitiveness. Asset Managers, Banks, Credit Risk, Insurers, Investment Firms, Public Institutions, Regulation, Securitisation
News category: Credit Risk
: Research on Rethinking the Securitisation Risk Weight Floor
Risk Control publishes new research paper proposing risk-sensitive Risk Weight Floor for policymakers to analyse and adopt.
Banks, Consulting, Credit Risk, Public Institutions, Regulation, Securitisation
: RC-Capital Model Video
Risk Control publishes a short video about the RC-Capital Model on its YouTube channel. The Monte Carlo model is a high-specification, portfolio modelling framework, supplying rigorously calculated risk statistics for multi-asset portfolios over different holding periods. Asset Managers, Credit Risk, Investment Firms, Software
: 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.
: 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.
: Limit System Software
Risk Control devises innovative software for tracking headroom vis-à-vis different credit risk limits.
Credit Risk, Software: Global Credit Market Update
Risk Control publishes a note on how Global Credit Markets have been affected by the Covid-19 crisis.
Banks, Credit Risk, Investment Firms, Rating: Regional Bank Default Probabilities in the Covid-19 Crisis
Risk control publishes a note on bank default probabilities in the Covid-19 crisis in the form of regional indices for North America, Europe, Africa, Asia & Oceania, Latin America & Caribbean and Middle East.
Asset Managers, Banks, Credit Risk, Insurers, Methodology: Covid-19 Credit Market Dashboard
Risk Control has developed a dashboard to show the credit market implications of the Covid-19 crisis. Data is updated daily and access is free. To register, please follow this link.
Banks, Credit Risk, Insurers, Investment Firms, Public Institutions, Rating: Gainers and the Losers: Real-Time Industry PDs in the Covid-19 Crisis
Risk Control publishes a new note showing how representative probabilities of default (PDs) for individual industry sectors have evolved since the crisis began. The techniques applied permit one to refresh PD estimates in real time and, hence, offer extremely timely information about the state of corporate credit.
Credit Risk, Research: Risk Control presents to EBA on regulatory issues
Risk Control presents analysis of IRB credit scoring models to European regulators. Banks, Credit Risk, Regulation
: Presentation to Bank CROs
Risk Control analyses the implications of S&P’s new RAC ratings framework for senior staff from multiple banks. Banks, Credit Risk