PRIIPS Download PDF
The new European PRIIPs regulation requires providers of ‘Packaged Retail and Insurance-based Investment ProductS ‘(PRIIPs) to make return forecasts available to retail investors using a prescribed simulation technique. Ever since the PRIIPs-regulation came in effect, representatives of not only PRIIP producers, but also PRIIP sellers and retail investors, have filed complaints about this simulation technique at the …
IRRBB Download PDF
New guidelines for managing Interest Rate Risk in the Banking Book (IRRBB) will have a significant impact on how banks measure, monitor, hedge and manage their interest rate risk. The guidelines will affect the bank’s organization: its governance, its risk models, its systems and its policies.
Balance sheet management Download PDF
Since June 2017, RiskQuest has become strategic (implementation and sales) partner of Mavenblue Balance Sheet Management software. This state-of-the-art software fulfils the increasing need for life insurance companies to gain insight into the current level and composition of the solvency ratio, as well as value creating capital into the future. The attached white paper introduces …
The Future of retail banking Download PDF
Banks can counter the threats to their business models, by further focusing on the their customer relationship. By applying big data type of analysis and providing proactive advice, the bank can add value to its clients.
Integrated model landscape Download PDF
Integrated models that model the entire chain are the future of modelling. In this White Paper, RiskQuest advocates an integrated modelling approach that increases consistencies, decreases costs and extends the application of risk models to the entire chain of the bank.
IFRS 9 and credit risk models Download PDF
IFRS 9 will have a significant impact on the credit risk modelling landscape of banks. In this whitepaper, RiskQuest in cooperation with FiGoRi Consulting, compares the requirements for AIRB compliance and IFRS 9 and considers potential synergies and caveats.
Operational Risk Download PDF
Under Basel’s Advanced Measurement Approach (AMA) bank’s are allowed to calculate Pillar 1 capital requirements using their own models. This whitepaper discusses the challenges in building such a model.
Model governance Download PDF
Financial institutions use mathematical models in their daily operations. Such models can help the decision making. However, models also expose the institutions to a new form of risk, namely model risk. Model risk can be managed by setting up an optimal model governance.
Basel III summary Download PDF
In December 2010 the Basel Committee on Banking Supervision (BCBS)published its reforms on capital and liquidity rules to address problems that arose during the financial crisis. This whitepaper summarizes the changes.
Scenario analysis Download PDF
What happens if … ? scenario analysis is a perfect complement to the current statistically oriented risk measurement methods. This white paper discusses what is needed for effective scenario analysis.