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…
This expert article on the 2018 Solvency II review consists of a high level summary of the Solvency II review and a table providing a detailed overview of all changes brought about by this 2018…
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.
This article details the mechanisms governing risk decisions and the underlying complexity of using risk appetite as a component of the strategic decision.
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…
On the 25th June 2020, the International Accounting Standard Board (IASB) has published several amendments to IFRS 17. These amendments address many of the concerns raised by the industry and aim at…
