Language EN | DE

Partners in Risk Management

Credit Risk Mitigation – Financial Collateral Comprehensive Method

Posted on Nov 25, 2020

Collateralising an exposure with financial collateral is one of the credit risk mitigation techniques used by banks to reduce the risk of credit exposures. There are three evaluation approaches for financial collateral that are prescribed in CRE22, one of which is the Financial Collateral Comprehensive Method (FCCM). The FCCM allows for a bank to benefit from all types of financial collateral whilst not requiring them to develop an internal model. However, in order to use the FCCM a bank should demonstrate that the prescribed haircuts are conservative. This presentation outlines two possible approaches to backtest the prescribed haircuts.

Read our published briefing here.

For more information or if you have any questions please contact:

Dilbagh Kalsi
Partner, Head of UK Practice
Fintegral UK Ltd
+44 (0)7703 788 016

Samuele D’Altri
Senior Manager
Fintegral UK Ltd
+44 (0)7494 855 102

Robert Pullman
Senior Consultant
Fintegral UK Ltd
+44 7958 541 756

Back to news