The Prudential Regulation Authority (PRA) is consulting on proposals to update its guidance on Model Risk Management (MRM) practices for stress testing. The PRA says the proposals reflect the aims of a current review by the European Banking Agency (EBA) of the 2010 Committee of European Banking Supervisors (CEBS) Guidelines on Stress Testing (GL32). Four […]
How are valuation adjustments (XVA’s) impacting the bottom line? By what methods are practitioners using them to make business decisions? And how will current trends in XVA determine the future of derivatives? These are a few of the questions Fintegral will address over coming months as part of a survey of leading global banks for […]
The European Banking Authority (EBA) is consulting on changes intended to enhance risk management and supervisory convergence under the Supervisory Review and Examination Process (SREP). The revisions focus on stress testing and interest rate risk in the banking book (IRRBB), in particular updates to: Guidelines on common procedures and methodology for SREP Guidelines for managing […]
The European Banking Authority (EBA) has agreed a final timeline for the 2018 EU-wide stress test. The process will be launched at the beginning of 2018, with results expected on November 2 of that year. The Board of Supervisors has extended the timeline to give banks more time to implement the new IFRS 9 accounting standards. Key […]
What are the most promising machine learning techniques for credit risk evaluation? Fintegral will assess the options at the Artificial Intelligence in Industry and Finance conference in Winterthur, Switzerland on Friday September 7.
Can quantitative analysis be used to help manage non-financial risk? We think so, and have been discussing how in Corporate Reputation Magazine.
The Fundamental Review of the Trading Book introduces Expected Shortfall as a new risk measure for determining regulatory capital requirements. In this briefing we describe some approaches and outline the development of a tool for the purpose.
Banks are busy preparing methodologies and models for the introduction of IFRS 9 in January 2018. So far there is no industry standard for stress testing under the new regime and that presents challenges but also opportunities, as a Fintegral Briefing explains.
The European Banking Authority (EBA) recently published a timetable for revising the Supervisory Review and Evaluation Process (SREP) in 2017 – 2018. Fintegral has summarised the key points here.
Both banks and regulators want to manage the risk created by the use of models, but they’re frequently at odds over how to do it. In the new yearbook of the Frankfurt Institute for Risk Management and Regulation (FIRM), Fintegral Partner Dr Andreas Peter and Helaba Bank Head of Credit Risk Management Stephan Kloock present […]