Effective January 1st, 2019, the EU securitisation market has undergone a substantial overhaul in terms of the overall regulatory framework that governs the securitisation activities of the different…
On January 24th 2022, the EBA published its final draft implementing technical standards on Pillar 3 disclosures for Environmental, Social and Governance (ESG) risks. This article aims to summarise,…
With the SA-CCR differing substantially from the prior non-internal methods, there is significant work to be done by institutions to comply with the new regulatory requirements while minimizing the…
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…
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…
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…
