• 27/04/2015

    MiFIDII | Time to get prepared

    MiFID II, time to get prepared

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  • 28/05/2015

    Fundamental Review of the Trading Book

    The Fundamental review of the Trading Book opens a new era on regulatory perception of the embedded risks in trading positions. More importantly, it shows a strategic reversal and the willingness of regulators for a convergence between risk measurement methods (standardized approach vs advanced approach), an integrated assessment of risk types (from a silo risk assessment to a more comprehensive risk identification) and an alignment between prudential and accounting rules.

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  • 7/05/2015

    Volcker & LBF Implementation

    Comparative analysis between the Volcker Rule and French Banking Law.

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  • 3/11/2014

    Dynamic Stress Test Diffusion Model Considering The Credit Score Performance (November, 2014) by Ziad FARES & Arnault GOMBERT

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  • 8/07/2014

    Optimization of Post-Scoring Classification and Impact on Regulatory Capital for Low Default Portfolios

    With new stringent regulatory requirements and substantial pressure to increase their ROE, banks are facing emerging challenges in the processing of Low Default Portfolios.This paper analyzes the opportunity to build a rating scale for LDPs, as well as identifies the possibilities to optimize RWA, by studying the correlation between the number of classes within a rating scale and the impact on RWA.

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  • 7/04/2014

    GRA Booklet - 2013-2014 - First Edition

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  • 27/01/2014

    Value-at-Risk in Turbulence Time (Février 2014) by Benoît GENEST & Zhili CAO

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  • 23/08/2013

    Collateral Optimization – Liquidity & Funding Value Adjustments, Best Practices (Août 2013) by David REGO & Hélène FREON

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  • 16/04/2013

    CVA Capital Charge under Basel III standardized approach (Avril 2013) by Benoît GENEST & Ziad FARES

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  • 19/03/2013

    GRA Pricer - 2013 - Valuation & Pricing Solutions by David REGO supported by Benoît GENEST and Ziad FARES

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