This expert input addresses the independent valuation of structured products, and particularly of OTC derivatives. It explains for what reasons and under what conditions independent valuation is…
This Expert input delves into the new EBA definition of default that will apply as of January 2021. It examines who is going to be most impacted by the change and what is going to be the difference…
This Expert input addresses the EMIR-related requirement of keeping a variation and initial margin; more specifically, the initial Margin is the main focus of the article. It lists the advantages of…
The regulation of SFTs has been with us since late 2015. By far its most challenging part, however, the reporting has not yet come into play as many of its aspects had to be further specified by RTSs…
This Expert input discusses reverse stress testing. A type of stress testing that does not ask what the results of certain pre-defined shocks are going to be, but rather, what shocks would have to…
The three languages were compared using a simple setup, as close as possible to a real-life situation. The exercise consisted in calibrating a logistic regression to identify loans likely not to be…
This article introduces the challenges of the ECB supervised entities regarding their internal validation of the IRB Approach. It also considers a benefit of use of Model Validation tool.
IFR and IFD have clearly been drafted in order to fil a gap in terms of prudential and governance regulation framework. The former situation presented some kinds of loophole between Credit…
This article analyses the effects of the COVID-19 from a bank’s credit risk point of view. First, it assesses how COVID-19 hurts the economy, the way the risk profiles of stock and potential clients…
This article discusses the benefits of applying advanced analytics in the development of behavioural scoring models. It investigates how Machine Learning techniques can be used to model the…
