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Credit Risk Modelling of Low Default Portfolios: Part III - Parametric approaches for PD calibration

In the third part of low default portfolios series, the focus is on different parametric approaches for PD calibration.

AI and Machine Learning for Credit Rating Models: Part II - The foundations of machine learning

In this second part in our series on AI and Machine Learning (ML) for Credit Rating Models, we take a look at the foundations of ML and the steps required to build a successful ML based model.

CeFPro's 11th Risk EMEA

The 11th RISK EMEA organised by Center for Financial Professionals (CeFPro) is coming up next week. On Monday and Tuesday, 13-14 June 2022, the conference will take place in London.

The Increasing Risks of Cryptoassets

Since the dawn of cryptoassets, multiple technological advancements have been made in the area including improved transaction costs and speed, increased privacy, robust security, and inflation hedging.

CeFPro's ESG Europe Summit

Fintegral is not only co-sponsor of the CeFPro’s ESG Europe Summit, but we also contribute actively to the agenda. The Summit will take place in person in London on 27-28 April 2022.

AI and Machine Learning for Credit Rating Models:​ Part I - A brief overview of the regulatory landscape

The rising popularity in AI is creating new opportunities within financial services especially for prudential regulatory modelling.

Credit Risk Modelling of Low Default Portfolios: Part II - Fintegral’s overview to probability of default estimation

In the second part of the series dedicated to low default portfolios, the focus is on how to tackle two of the biggest challenges of the modelling process: target definition and probability of default calibration.

Credit Risk Modelling of Low Default Portfolios:​ Part I - Identification and regulatory highlights

Traditional statistical techniques show various weaknesses when modelling low default portfolios.

EBA IFRS 9 Implementation by EU Institutions Monitoring Report: Review of observations and findings

In the EBA’s latest monitoring report on the implementation of IFRS 9, the regulator outlined significant strides have been made by EU firms in upholding the spirit of the standard, however, more can be done.

Fintegral Live Webinar Climate Stress Testing

The ECB’s economy-wide climate stress test was the first step in their climate roadmap. In 2022, the SSM climate stress test will follow. Throughout our Fintegral Webinar on February 8, 2022 from 16:00-17:15 CET,...

39th Expert Forum

Due to the increasing number of COVID-19 cases, the 39th Expert Forum on 18th November 2021 was once again held as an online event rather than the traditional onsite meeting.

FRTB: The Usage of Proxies under FRTB

There are multiple ways for banks to reduce the number of NMRFs under FRTB, including the use of external data sources and proxies.

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.