Global Research & Analytics
CH&Co. Benchmark: Client Onboarding
Dear Participant, You can register to our Benchmark by filling
Benjamin Esmilaire 23 July 2021
Insights
Decoding the trends and anticipating the future to fuel innovation in Financial Services.
Global Research & Analytics
|Press release| “You can sell” by Stéphane Eyraud and Patrick Bucquet
New York, USA – 4/12/2021 – “You can sell” by
Patrick Bucquet 6 April 2021
Global Research & Analytics
5 ideas to change banking climate stress test exercises: Adapt to the challenges of the Anthropocene era.
Stress test exercises appear to be the best lever to
B. Genest 19 February 2021
Global Research & Analytics
ETH 2.0: A giant step toward the “World computer”
The long-awaited ETH 2.0 transition has been launched last December.
Olivier Garcia 19 February 2021
Global Research & Analytics
Financing & Consolidation of the crypto industry
The development of the crypto space reminds of the early
Olivier Garcia 19 February 2021
Global Research & Analytics
Tokenized stocks – A major Milestone
A significant milestone has been achieved at the end of
Olivier Garcia 19 February 2021
Global Research & Analytics
White paper on Model Risk Management: How to measure and quantify model risk?
The aim of this paper is to present model risk situations and a methodology to measure and quantify the associated risk at model level, with different types of assumptions.
B. Genest 5 December 2019
Global Research & Analytics
Global Research Analytics Booklet “Risk & modelling” – Third Edition
After seven years of existence, the GRA team continues to explore the issues of risk quantification. This third booklet still demonstrates the perseverance of the GRA work and reflects the numerous questions the team faces daily.
B. Genest 15 July 2019
Global Research & Analytics
Counterparty Credit Risk : Evolution of the standardised approach to determine the EAD of counterparties
This article focuses on the revised standardised methodology (SA-CCR) introduced by the regulator to compute the Exposure of derivatives for Counterparty Credit Risk management.
B. Genest 12 June 2019
Global Research & Analytics
Standardised Measurement Approach for operational risk
CH&Co provides a response to the Basel Committee on Banking Supervision’s consultative document based on …
B. Genest 28 May 2019
Global Research & Analytics
RWA density | What lies behind this underrated financial ratio
The objective of this article is to provide a new angle to the study of RWA density …
B. Genest 28 May 2019
Global Research & Analytics
Value-at-Risk in turbulence time
This CH&Co. GRA paper shows how the risk failure may come.
B. Genest 28 May 2019
Global Research & Analytics
CVA capital charge under Basel III standardized approach
This CH&Co. GRA paper analyzes and studies the standardized approach of CVA Risk
B. Genest 28 May 2019
Global Research & Analytics
GRA: Valuation & Pricing Solutions
A response to repeated requests from various players in the market.
B. Genest 28 May 2019
Global Research & Analytics
Basel II IRB Risk Weight Functions
This CH&Co.’ GRA paper introduces Basel II, the construction of risk weight functions and their limits in two sections
B. Genest 28 May 2019
Global Research & Analytics
1st White Paper of 2019 by Global Research Analytics (GRA)
“Stochastic modelling of the loss given default (LGD) for non-defaulted assets”
B. Genest 27 May 2019
Global Research & Analytics
Dynamic Stress Test Diffusion Model Considering the Credit Score Performance
Methodology that diffuses dynamically the stress on the credit rating scale while considering the performance of the credit score.
B. Genest 14 March 2019
Global Research & Analytics
Risk management in exotic derivatives trading : Lessons from the recent past
Banks’ product offering has become more and more sophisticated with the emergence of financial products tailored to the specific needs of a more complex pool of investors.
B. Genest 14 March 2019
Global Research & Analytics
Post-Scoring Classification for Low Default Portfolios
In a context, where banks are looking to improve their Return on Equity and supervisors strengthening their positions, this whitepaper aims to provide clues for optimizing Post-Scoring classification as well as analysing the relationship between the number of classes in a rating scale and the impact on regulatory capital for LDPs.
B. Genest 14 March 2019
Global Research & Analytics
Interest Rate Risk In The Banking Book
How to manage IRRBB considering the Monetary Policy and the new regulation. This white paper focuses on understanding how current market conditions (low interest rates) can affect banks’ revenues and profitability.
B. Genest 14 March 2019
Global Research & Analytics
Risk-Weighted Assets (RWA) density
What lies behind this underrated financial ratio. The objective of this article is to provide a new angle to the study of RWA (Risk-Weighted Assets) density.
B. Genest 14 March 2019
Global Research & Analytics
Fundamental Review of the Trading Book: Impacts & Market Perspectives
The purpose of the Fundamental Review of the Trading Book (FRTB) is to cover shortcomings that both regulations and internal risk processes failed to capture during the 2008 financial crisis.
B. Genest 14 March 2019
Global Research & Analytics
Cat bonds & Artificial Neural Networks
An example of reinsurance products’ pricing using machine learning methods. Over the last fifty years, numbers and costs of natural disasters have not ceased to multiply. Given this phenomenon, insurers and reinsurers struggle to cover the associated losses.
B. Genest 14 March 2019
Global Research & Analytics
Back-testing of Expected Shortfall: Main challenges and methodologies
Following recent financial crises and their disastrous impacts on the industry, regulators are proposing tighter monitoring on banks so that they can survive in extreme market conditions.
B. Genest 14 March 2019
Global Research & Analytics
Stochastic modelling of the loss given default (LGD) for non-defaulted assets
In the Basel framework of credit risk estimation, banks seek to develop precise and stable internal models to limit their capital charge.
B. Genest 14 March 2019
Global Research & Analytics
Collateral Optimization
By David Rego & Hélène Freon, supported by Matthieu Sachot & Benoit Genest. The purpose of this paper is to understand how the current financial landscape shaped by the crises and new regulations impacts Investment Banking’s business model. We will focus on quantitative implications, i.e. valuation, modeling and pricing issues, as well as qualitative implications, i.e. best practices to manage quantitative aspects and handle these functions to the current Investment Banking organization.
B. Genest 10 December 2018
Global Research & Analytics
Risk & Modelling (2015-2016)
Three years since its inception, the GRA team continues to thrive, develop and mature. This second booklet demonstrates the perseverance of our work. It also reflects the numerous questions we face on a daily basis and which we never tire of answering. Benoît Genest
B. Genest 3 December 2018
Global Research & Analytics
Cat bonds & Artificial Neural Networks, our tribune published on Risk.net
Mikaël Benizri, Actuary, supported by Ziad Fares, R&D, published this white paper with a view to present a mathematic model assisting in the pricing of insurance risk transfer products, such as XL contracts or cat bonds. An example of reinsurance products’ pricing using machine learning methods.
B. Genest 10 September 2018
Data, Tech & Cyber Security
Vidéo : “Et si demain : L’accès aux données freinait le développement de l’IA ?”
Chappuis Halder & Co. interviews its partners… Here, I wonder how likely the open data scenario really is.
A. Hovette 23 April 2018
Global Research & Analytics
Modelling: What’s next for Financial Services in Europe? (2017)
This paper outlines a practical roadmap to realising cost savings, delivering a material reduction in the volume and complexity of models by outlining five key principles of model optimisation By Benoit Genest, Emilie Pons, Matthieu Arsac for Chappuis Halder & Co.
B. Genest 3 July 2017
Global Research & Analytics
Video : “Global Research Analytics explained”
This new CH&Co. discussion series focuses on Global Research & Analytics.
B. Genest 23 March 2017
Global Research & Analytics
Standardized Measurement Approach for calculations of operational risk (2016)
Standardized Measurement Approach for calculations of Op Risk Capital – By Benoît Genest, Hélène Freon, Mariya Benjelloun. CH&Co provides a response to the Basel Committee on Banking Supervision’s consultative document based on the public data communicated by the Bank for International Settlements.
B. Genest 3 December 2016
Global Research & Analytics
Global Research & Analytics (2013-2014)
Only one year after its creation, the GRA team has been completely transformed. Surpassing all of the original ambitions, the team now stretches over three zones (Europe, Asia and the US) and continues to grow. Benoît Genest.
B. Genest 3 December 2014