By the end of this month banks need to have implemented Credit Spread Risk in the Banking Book. We notice that many banks are still developing methods to measure CSRBB amidst limited regulatory guidance. To validate or challenge your internal discussions, our colleague Maurits van den Oever has investigated a simple and intuitive method to quantify systemic credit spread shocks. He calculates shocks for government bonds with different ratings and maturities which can be easily implemented in your IRRBB framework. Interested in further expanding your CSRBB framework in 2024? Then don’t hesitate to get in touch with our IRRBB lead Corné Ruwaard to exchange thoughts.
- Unique methodology: at Probability & Partners, we have created our own methodology for assessing and supporting your organization with regulatory implementation.
- Experienced consultants: our consultants have 10+ years of experience working in financial and non–financial risk, regulations, and governance. We service banks, insurers, payment service providers, and fintech firms.
- Pragmatic approach: based on our experience with multiple organizations of all sizes, we have built our own pragmatic methodology for a balanced approach, focused on being fully compliant and efficient.
- Extensive expertise: We have expertise in the following topics: IORP II, Solvency II, Basel II, III, IV, PDS2, GDPR, BCBS 239 (PERDARR), as well as Third-party management (outsourcing arrangements), IFRS 9, IFRS17, EMIR, CRR, FRTB
- Analysis: we assess existing and emerging regulatory requirements applicable to the organization.
- Strategy: we determine implementation strategy jointly with the client
- Implementation: we have developed our methodology for implementation and demonstration of maturity, including design and operational effectiveness tests. We can support with a resolution of regulatory action points to achieve compliance.
- Quality control: we ensure that our solution is internally challenged.
- Audit: we prepare you for an independent audit.
- Reporting to senior management: we ensure that there are no surprises along the way.
We provide any of the above elements also as a separate service.