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FRTB: Improving the Modellability of Risk Factors

The modellability of risk factors is an important component of FRTB for banks as it directly affects capital calculations.

CeFPro's Risk EMEA Summit

Fintegral is proud to be sponsoring the 10th Annual Risk EMEA Summit!

Targeted Review of Internal Models (TRIM) - Review of observations and findings for Traded Risk

The EBA has recently published the findings and observations from their TRIM on-site inspections.

IRB Repair: TRIM update on MoC Framework

The recently published final report of ECB’s TRIM investigations has underlined once more that the Margin of Conservatism (MoC) framework is still a significant issue for many institutions.

The impact of climate-related and environmental risks (CER) on the financial sector: Risk identification and assessment

Supervisory authorities are becoming increasingly aware of the impact of climate-related and environmental risks (CER) on the financial sector.

IRB Repair: Margin of Conservatism framework

ECB’s TRIM results have revealed that many institutions had findings in the context of the margin of conservatism (MoC).

Automating a Model Revalidation

We discuss why the revalidation process is an ideal starting point of an automation initiative and advise how to go about it.

CeFPro's Advanced Model Risk Summit

Fintegral is proud to be sponsoring CeFPro's Advanced Model Risk Summit!

FRTB: Harnessing Synergies Between Regulations

The Fundamental Review of the Trading Book (FRTB) will be one of the largest changes to Banking in the past decade. It will impact multiple areas of banks, including Trading, Risk, Finance and Operations.

Validation of Machine Learning Models

Modern Machine Learning techniques are becoming more ubiquitous and are finding widespread use in financial institutions. This opens questions about the treatment of these applications as models - including their validation.

PRA Climate Change Stress Testing: Update on the Requirements

Following the discussion paper released in 2019 on the requirements on the upcoming climate change stress test, the PRA has recently published an update with some revisions on the approach.

PRA publishes feedback to responses to Consultation Paper (CP) 15/20

Following Consultation Paper 15/20, the PRA have recently published Policy Statement 23/20 which confirms the final policies regarding the calculation frequency of Risks not in VaR (RNIVs) and the selection of the window for Stressed VaR (sVaR).

Credit Risk Mitigation – Financial Collateral Comprehensive Method

Collateralising an exposure with financial collateral is one of the credit risk mitigation techniques used by banks to reduce the risk of credit exposures.

PRA publishes Consultation Paper CP14/20

On 30th September, the PRA published Consultation Paper CP14/20, proposing new expectations in relation to Internal Ratings Based (IRB) risk weights for UK mortgages. The main purpose of these proposals is to address the prudential risks stemming from inappropriately low IRB UK mortgage risk weights. The proposed new measures are simple, efficient, and specifically targeted at addressing particular areas of concern that the PRA has observed.

CREWS – Credit Risk Early Warning System

In light of the current COVID-19 pandemic, an effective and efficient credit risk early warning system is becoming increasingly important and can make all the difference. This motivated us at Fintegral to further develop our news-based early warning system CREWS. The system leverages text analytics methods and can be used either as a stand-alone tool to support credit analysts or as a potential extension to existing early warning systems.

PRA Climate Change Stress Testing: Key challenges

Following our series on climate risk, we outlined the 4 biggest challenges banks are facing for the upcoming PRA climate change stress test. The presented challenges emphasize the current difficulties of the participants to complete the stress test according to the PRA’s requirements.

Climate Risk Webcast

Climate Risk is one central component in the ESG discussion. In our webcasts on 13 July 2020, we focused on that topic with our speakers from HSBC UK Bank plc and Swiss Reinsurance Company Ltd.

PRA guideline on IFRS9

Following the PRA’s initial guideline on IFRS9 in the context of COVID19, the regulator has recently published further guidance on the treatment of loans that have been subject to payment deferrals.

PRA Climate Change Stress Testing: Key Requirements

We are publishing a small series on climaterisk. Our first post provides insights on the 2021 PRA climate change stresstest, which outlined the key requirements and modelling approach.

PRA publishes feedback to responses to Consultation Paper 21/19

The Prudential Regulation Authority (PRA) issued a Policy Statement on Credit Risk: PD and LGD estimation (PS11/20), which provides feedback on responses to last year's Consultation Paper 21/19.

The Impact of COVID-19 on IFRS9 and the Definition of Default: Fintegral’s Opinion

In these uncertain times, many of our clients have asked us how to deal with the impact of COVID-19 on IFRS9 and the Definition of Default. Read our published opinion on how to incorporate the regulatory guidance.

EBA published the final methodology and draft templates for 2020 stresstest

The European Banking Authority (EBA) published today the final methodology and draft templates for the 2020 EU-wide stress test along with the key milestones of the exercise. The methodology and templates cover all relevant risk areas and incorporate the feedback received during the discussion with the industry in the summer of 2019. The stress test exercise will be formally launched in January 2020 and the results published by 31 July 2020.

EBA issues 2020 EU-wide stress test methodology for discussion

EBA released templates and methodology guides and the timeline for the stress test, along with the preliminary list of 50 sample institutions participating in the exercise. The final methodology will be published by the end of 2019. The EU-wide stress test will be launched in January 2020 while results of the test will be published by the end of July.

JPMCC Frankfurt 2019

The Fintegral team from the Frankfurt office took part at the JPMCC in Frankfurt.

EBA publishes final version of guidelines to strengthen Pillar 2 framework

The EBA finalised guidelines on the supervisory review and evaluation process (SREP), on stress testing as well as on interest rate risk in the banking book (IRRBB). Read more about how new regulation affects your institution.

JPMCC Frankfurt 2018

The Fintegral team from the Frankfurt office took part at the JPMCC in Frankfurt.

Industry Snapshot: The Business Case for XVA

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

Machine Learning for Credit Risk Evaluation

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.

VaR Survey: Fears over industry’s readiness for FRTB

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.

Solutions for an Independent Validation Function

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