Tag Archive for: Banking

The end of the recent period of interest rate volatility begs the question: are Solvency II shocks still adequate?

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.

Assessing Solvency II interest rate shocks in various interest rate environments using Hull-White, Nelson-Siegel, and PCA for comparison.

Gerd-Jan van Wiggen’s column in the Financial Investigator is about The EU Taxonomy Regulation and highlights banks’ exposure, trading books, and green missions.

Svetlana Borovkova’s column in the Financial Investigator is about climate risk assessment for NGFS and portfolio climate risk.

In the Financial Investigator, Koen van Ederen’s column about equity in times of increasing interest, the ECB’s instrument. Our study on the Empirical Duration tells us what the sensitivity of equity is to interest rate fluctuations.

This EBA discussion paper provides a good and comprehensive overview of the use of machine learning for credit applications.

Svetlana Borovkova’s column about using machine learning models for credit applications and potential pitfalls, including interpretability, biases, human involvement, privacy and model governance.

In November 2021, we organized a roundtable regarding the application of expert judgment and overrides in behavioral modeling of prepayments and savings, including interest rates, COVID-19, and elasticity of savings.

Gerd-Jan van Wiggen over zijn toetreding als partner bij Probability & Partners en belangrijke thema’s in de bancaire sector.