Quant Congress Europe: Regulatory focus to switch to leverage

Praet, who in addition to his day job is the chairman of the banking supervision committee of the European Central Bank and co-chair of the research task force at the Basel Committee of Banking Supervision, said the current risk-based capital approach had proved inadequate during the financial crisis.

“We spent years designing a framework for bank regulation that would provide an incentive for the best practices in risk management to be rewarded in terms of lower capital requirements,” Praet

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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