This white paper explores XVA calculation techniques that can accelerate performance and give banks an advantage over competitors. It further explores the benefits of calculating XVA’s using adjoint automatic differentiation over the ‘bump and run’ technique.
This white paper analyzes the new set of Basel 3 rules (also known as “Basel 4”) and the proposed changes to approaches for credit risk. It further offers Prometeia’s views on the implementation of these new rules in the current EU banking regulatory framework.
This white paper explores a comprehensive framework for IFRS 9, Stress Testing and ICAAP probabilities of default (PD) calculation. It further addresses some of the main problems arising in developing PDs for regulatory purposes and how to overcome these challenges.
This white paper explores the new requirements for intraday cash and liquidity management reporting introduced by Basel III. The paper further provides a solution to help organisations comply with this new regulation.
This white paper summarizes the core Pillar 2 approach of Interest Rate in the Banking Book (IRRBB), and the alternative Pillar 1 approach of IRRBB used by certain banks in a few situations. It also includes a practical approach to implementing IRRBB.
Achieving Optimal IFRS 9 Compliance: Going Beyond Compliance by Optimizing Your Implementation Effort and Financial Impact
This white paper explores the software functionality needed to support optimal IFRS 9 compliance. It further discusses why any steps taken towards IFRS 9 compliance should not be taken in isolation, but rather in the context of existing regulatory pressures.
This white paper explores the growing interaction between risk management and accounting in relation to credit risk modelling approaches, capital ratios, and provisions calculations, as well as data management and governance in preparation for IFRS 9.
Are Internal Credit Models for Structured Securities Going Away? An Analysis of the Recent Basel Consultative Document
This white paper focuses on the proposed changes and their implications for calculating credit risk capital, as well as the proposal’s integration with Basel’s other recent revisions and upcoming initiatives. The paper also discusses what next steps are expected with regard to this proposal.
Basel III Standardized Approach to Counterparty Credit Risk (SA-CCR): Adoption and Implementation Status
This white paper provides a brief introduction to the new standardized approach for measuring counterparty credit risk, its expected benefits, and its actual impacts. The paper further details the potential difficulties associated with its implementation and the current status of its adoption in…
This white paper will provide financial institutions guidance on how to manage, monitor and optimize liquidity. The paper further addresses why organisations should implement key risk indicators to help provide a holistic view of liquidity.