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.
Decoding the trends and anticipating the future to fuel innovation in Financial Services.
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.
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.
CH&Co provides a response to the Basel Committee on Banking Supervision’s consultative document based on …
The objective of this article is to provide a new angle to the study of RWA density …
This CH&Co. GRA paper shows how the risk failure may come.
This CH&Co. GRA paper analyzes and studies the standardized approach of CVA Risk
A response to repeated requests from various players in the market.
This CH&Co.’ GRA paper introduces Basel II, the construction of risk weight functions and their limits in two sections
“Stochastic modelling of the loss given default (LGD) for non-defaulted assets”
Methodology that diffuses dynamically the stress on the credit rating scale while considering the performance of the credit score.
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.
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.
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.
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.
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.
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.
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.
In the Basel framework of credit risk estimation, banks seek to develop precise and stable internal models to limit their capital charge.
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.
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
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.
Chappuis Halder & Co. interviews its partners… Here, I wonder how likely the open data scenario really is.
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.
This new CH&Co. discussion series focuses on Global Research & Analytics.
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.
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.