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Jun 14, 2022

Integrated Market & Credit Risk: An Active Risk Management Dialogue

The economic impact of the COVID-19 pandemic, similar to the 2008 Global Financial Crisis, shows that correlations between market and credit factors tend to be more pronounced in extreme market conditions. In order to respond to, or even stay ahead of such impacts, an integrated approach to market and credit risk analytics is key to success.

May 6, 2022

Benefits of Internal Models for Solvency II

As predicted in a recent blog post, we are observing an expansion of partial and full Internal Models to meet the pillar I capital requirements of Solvency II. The debate around its advantages vs its costs has resurfaced, with a special focus on the market and credit risk modules. Here, we provide our perspective on the main benefits of Internal Models based on proven enterprise solutions.

Apr 22, 2022

The ECB & Trade Flows: The Road to Hell is Paved With Good Intentions

Those of us who have followed the regulatory approach to internal models over the years have witnessed a remarkable evolution from its infancy, when it was very principles-based, to the current state, where it has become much more rules-driven; an evolution that has moved the focus from “modeling” into “compliance.”

Jul 28, 2020

FRTB survey shows firms using the Basel III delay to consider options

The SS&C Algorithmics webinar “FRTB market trends amidst the Basel III delay” held on July 8th provided an opportunity to engage in insightful discussion and gain market-led insights and perspectives with a panel of risk practitioners. The panelists are close to the implementation of the revised market risk capital requirements under the Fundamental Review of the Trading Book (FRTB). The session covered known and emerging FRTB challenges in the current COVID-19 climate, characterized by unprecedented market volatility and uncertainty, counterbalanced by a recent decision by the Basel Committee on Banking Supervision (BCBS) to defer the implementation of the new standards to 2023.

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