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101. Credit Spread Risk in The Banking Book

In December 2021, European Banking Authority published three consultation papers, including the guidelines on Interest Rate Risk in Banking Book (IRRBB) and Credit Spread Risk in The Banking Book…

102. A First Look at Stress Testing Climate Change Risk For Insurers

On 27 January 2022, the European Insurance and Occupational Pensions Authority (EIOPA) published a consultation paper on the methodological principles of developing bottom-up stress tests for climate…

103. Data management steps in credit risk modelling

This article discusses the main steps of data preparation, which determine the required fields/attributes that represent the baseline for model development where relevant data quality controls are…

104. The 2022 ECB climate risk stress test results – a roadmap towards future best practices

On the 8th of July, the ECB published the results of its climate risk stress test (CST). The main goal of this exercise was to gain a clearer view of banks' climate-related vulnerabilities, identify…

105. 2022 ECB Climate and Environmental risks agenda: preliminary indications

In recent years, the ECB has launched targeted actions to include climate and environmental risks in its ongoing supervision and has indicated addressing them in its list of priorities for 2022-2024.…

106. Machine learning for credit risk IRB models

This article examines the challenges and potential opportunities presented by machine learning when used to compute regulatory capital for credit risk using internal ratings-based (IRB) models. It…

107. Environmental Risks in the Microprudential Framework

Due to the unique features of environmental risks, extensive work is underway at the European and international levels to assess the extent to which they require urgent regulatory measures in…

108. A practical approach to predicting the IFRS9 Macroeconomic Forward-Looking PD

This article introduced a practical and end-to-end approach to model Point-in-Time PD in a manner that includes Forward-Looking Information for IFRS9 ECL calculation. Different techniques may produce…

109. Non-regulatory credit models – Retention and collection models

In this article we have presented the development of non-regulatory models and reasons why this work is important for risk related problems in financial industry. Those scorecards, even if they are…

110. EIOPA Application Guidance: Running Climate Change Materiality Assessment and Scenarios in the ORSA

EIOPA published the application guidance on running climate change materiality assessment and using climate change scenarios in the ORSA in August 2022 (“the guidance”). This is optional guidance…

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