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…
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.…
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…
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…
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…
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…
In this article we discuss the main C&E risk considerations to be made as part of the ICAAP, using the general ICAAP requirements as a starting point and combining them with the regulatory and…
On the 4th of November, the European Banking Authority (EBA) published the final package for the next EU-wide Stress Test, which will be officially launched in January 2023.
This article…
With the release of ‘Good practices for climate-related and environmental risk management’, the ECB recognized that industry-wide knowledge sharing will be pertinent for promoting and acceleration in…
In November 2022, the ECB published the “Walking the talk: Banks gearing up to manage risks from climate change and environmental degradation” report, which concludes that implemented practices do…
