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 […]
How do we manage risk in future? As traditional banking is turned on its head by FinTech and the acceleration of digitalization, how are we innovating to meet the expectations of both the market and supervisors? These were two of the questions discussed recently at Fintegral’s 31st Expert Forum in Frankfurt. Speakers from Commerzbank, Bergmann & […]
The European Banking Authority (EBA) has outlined a timetable for the 2018 EU-wide stress test. The exercise is expected to be launched at the beginning of 2018 and the results published in the middle of the year. The EBA is now in the process of preparing methodology and templates before consulting with the industry this […]
A Fintegral survey of Value at Risk methodologies and frameworks at tier 1 banks suggests a lack of preparedness for the Fundamental Review of the Trading Book (FRTB). Among the key findings: Most respondents view data quality as a major concern for them Institutions appear ill-prepared to meet the new requirements There is resistance to […]
From robot surgery to self-driving cars, the algorithms used to control socio-technical systems are becoming more powerful. And in the era of machine-learning, our cyber decision-makers both learn and adapt. But what do we know about the risks involved? If machine-learning is not to be a technological black box, then there needs to be transparency and […]
Germany’s largest financial institutions say that the prospect of IT failure is the biggest threat faced by Business Continuity Management. They’re also pessimistic about their ability to meet the latest regulatory requirements for data storage and reporting. These are some of the key findings of Fintegral’s 2016 BCM Compass – a survey of BCM practices […]
Rainer Rettinger has been appointed Fintegral’s Chief Operating Officer, based in London. Rainer arrives from HSBC, where he was the COO of Credit Portfolio Management for the wholesale bank. His team was twice awarded the RISK ‘CPM House of the Year’ in 2011 and 2014. He brings with him more than 20 years of banking experience […]