Banking

Towards a Faceted Taxonomy of Financial Services

Reading Time: 27 min.
Who Needs a New Financial Services Taxonomy? Our age is increasingly dominated by the dual challenges and opportunities of the sustainability transition on the one hand, and digital transformation on the other. We witness emerging new financial domains with novel names such as Fintech , or TechFin, or various combinations and hues of Green and Sustainable in Sustainable Finance and we see forces that are reshaping the direction of travel for the financial industry.
White Paper 11, Sustainable Portfolio Management of GHG

White Paper 11, Sustainable Portfolio Management of GHG

Reading Time: 0 min.
Open Risk White Paper 11: Sustainable Portfolio Management: Attribution and Allocation of Greenhouse Gas Emissions We develop an analytic framework that synthesizes current approaches to sustainable portfolio management in the context of addressing climate change. We discuss the different required information layers, approaches to emissions accounting, attribution and forward-looking limit frameworks implementing carbon budget constraints. Download Download OpenRiskWP11_021221 Citation @ARTICLE{OpenRiskWhitePaper11, author = {P. Papadopoulos}, year = {2021}, note = {\href{https://www.
Comparing IFRS 9 and CECL provision volatility

Comparing IFRS 9 and CECL provision volatility

Reading Time: 8 min.
Is the IFRS 9 or CECL standard more volatile? Its all relative Objective In this study we compare the volatility of reported profit-and-loss (PnL) for credit portfolios when those are measured (accounted for) following respectively the IFRS 9 and CECL accounting standards. The objective is to assess the impact of a key methodological difference between the two standards, the so-called Staging approach of IFRS 9. There are further explicit differences in the two standards.
Credit Portfolio Management in the IFRS 9 / CECL and Stress Testing Era

Credit Portfolio Management in the IFRS 9 / CECL and Stress Testing Era

Reading Time: 3 min.
Credit Portfolio Management in the IFRS 9 / CECL and Stress Testing Era The post-crisis world presents portfolio managers with the significant challenge to asimilate in day-to-day management the variety of conceptual frameworks now simultaneously applicable in the assessment of portfolio credit risk: The first major strand is the widespread application of regulatory stress testing methodologies in the estimation of regulatory risk capital requirements The second major strand is the introduction of new accounting standards (IFRS 9 / CECL) for the measurement and disclosure of expected credit losses While both Regulatory Stress Testing and IFRS 9 / CECL accounting require investment in analytic capabilities and provide unique new insights, both are aimed at satisfying evolving prudential or investor disclosure requirements.
OpenNPL Database

OpenNPL Database

Reading Time: 2 min.
Motivation for Building an open source database based on EBA’s Standardized NPL Templates In an insightful recent piece, “Overcoming non-performing loan market failures with transaction platforms”, Fell et al. dug deeply into the market failures that help perpetuate the Non-performing loan (NPL) problem. They highlight, in particular, information asymmetries and the attendant costs of valuing NPL portfolios as key obstacles. In the same wavelength, the European Banking Authority published standardized NPL data templates as a step towards reducing the obstacles that prevent the reduction of NPL’s.
Seeking clues for financial stability in quantum physics

Seeking clues for financial stability in quantum physics

Reading Time: 7 min.
Seeking clues for financial stability from quantum physics How physicists discovered why the world is stable Physics is one of those remarkably successful branches of science that have helped shape the modern era. Let your gaze drop on any man made gadget in your surroundings and its likely that its working principles go back to a fundamental discovery in physical science that dates back no more than two hundred years or so.
If banks were airlines

If banks were airlines

Reading Time: 3 min.
If banks were airlines Ever since the scary turbulence of the Great Financial Crisis it has been instructive and illuminating to compare the travails of the financial industry with the state of other industries, especially those more down to earth, also known as real world industries. The automotive industry was particularly handy for good analogies: Almost all of us have first-hand experience with the successes and failures of risk management when it concerns cars and driving.
Securitisation versus Banking – the Shootout

Securitisation versus Banking – the Shootout

Reading Time: 14 min.
Securitisation versus Banking The ever elusive CMU dream There is(/was) renewed interest in EU-land over deepening a capital markets union, aka CMU. It is among the initiatives being pursued by the Commission in order to help accelerate growth in the European Union. The initiative encompasses many elements, both around equity (shares) and debt markets. One important pillar of the CMU aims to re-launch some version of an EU securitisation market. This segment was never really defined in a EU-wide basis.