Why the same private credit loan is different on a bank’s or insurer’s balance sheet Introduction Since I started exploring partnerships between banks and insurers, I have been intrigued by the question: “how can a loan, with a certain economic risk profile, have a very different capital charge on a bank’s or an insurer’s balance sheet, and is this capital arbitrage, or not?” Over the years, I have had many discussions with colleagues on this topic and more recently, I have r

The strong reaction to recent discussions around IFS 9 overlays and CRR Ill Margins of Conservatism (MoC) highlights how easy it is to conflate these two adjustment mechanisms. Both arise when models face uncertainty, data gaps, or limitations. Both have the effect of moving estimates away from "pure" model output. And both are seen by stakeholders as adding prudence. Yet beneath this surface similarity lie important differences in purpose, direction, and governance. Misunder

Executive summary The regulatory breakthrough that changes everything After years of institutional exile, cryptocurrency and stablecoins are poised for mainstream adoption by traditional banks. This is driven by a fundamental shift in the U.S. and global regulatory frameworks. The problem: prohibitive cost of capital Basel Committee capital rules imposed a punitive 1,250% risk weighting on crypto assets, making them economically impossible for banks. A simple example: a $1 mi

The regulatory environment for UK building societies is undergoing a significant shift. The Prudential Regulation Authority (PRA) is progressing toward the phased implementation of its Strong and Simple Regime (SSR) from 2026. The SSR is designed to simplify prudential requirements for small domestic deposit takers (SDDTs), thereby providing simplified liquidity and disclosure requirements for eligible building societies. Also, the PRA is set to withdraw Supervisory Statement

C ontents Introduction About CVA and SA-CVA Benefits of SA-CVA Challenges with IMA-CVA Approach for Banks Summary References Introduction CVA reflects the market value of counterparty credit risks, the expected loss if a counterparty defaults. The rise in CVA-related capital for global banks stems from new regulations and increasing derivatives complexity. CVA assesses counterparty risk for OTC derivatives. Basel’s new rules replace prior methods with SA-CVA and BA-CVA, remov

Abstract:   Digital Asset Platform (DAP) represents a landmark transformation in capital markets. The strategic rationale behind DAP is to automate and digitize the entire asset lifecycle, from issuance through trading, settlement, and custody, by employing a permissioned blockchain, Daml Smart Contracts, and cloud-native architecture. This transformation results in faster settlement, eliminates manual reconciliation, enhances transparency, and enables real-time compliance, a

Introduction Securitizations help European banks lend more. They allow banks to move the credit risks of loans off their balance sheets and use the freed-up capital to support new lending. But since the Global Financial Crisis (“GFC”), securitization volumes in Europe have dropped significantly, while in contrast, the U.S. market has grown, even though U.S. defaults peaked during the GFC. To address this, the EU Commission is reviewing how securitization works in the EU. This

It’s Halloween night in the world of AI and Risk. The lights are dim in the data center, but something is stirring deep within the systems — models that should have been retired long ago whisper back to life. Their logs flicker with activity, unexplained trades appear in audit trails, and risk dashboards pulse with ghostly data points. No, this isn’t a scene from a sci-fi thriller. It’s what happens when model risk management lapses , when biases are left unchecked , and when

WHITEPAPER Today banks are operating under heightened uncertainty. Since early 2025, global markets have experienced considerable volatility, driven by unpredictable policy directions and rapidly shifting economic indicators. This has been reflected in pronounced movements across equity markets and widening spreads in both short and long-term interest rates. One notable development has been the sharp increase in 10-year US Treasury yields following major policy announcements.

Global banks face immense pressure to align daily risk calculations with constantly evolving FRTB mandates and to transform market risk...

Contents CSRBB Product Scope – Banking Book . Aligning CSRBB Methodologies . CSRBB Risk Assessment Methods . CSSRBB Vs IRRBB – Holistic View . Challenges faced by banks in incorporating CSRBB as Pillar II risk . Best Practices for Managing CSRBB Regulatory Compliance . Conclusion . References . Incorporating CSRBB into Pillar II Risk and Capital Requirements Managing credit spread risk in the banking book (CSRBB) is crucial for effective risk management, especially given the

The intersection of geopolitics, large scale economic crime, and artificial intelligence (AI) is rapidly reshaping the global financial...

According to Britannica, bias is a tendency to believe that some people, ideas, etc., are better than others, which usually results in...

As artificial intelligence continues to transform industries, economies, and global systems, it brings with it immense opportunities—and...

Global banks are grappling with the trade-offs between  FRTB IMA  and  SA  approaches. As deadlines for the  Fundamental Review of the Trading Book (FRTB)  draw nearer across many jurisdictions, debates around using the  Internal Models Approach (IMA)  versus the  Standardised Approach (SA)  are intensifying. The decision is not straightforward. In this article, we examine the pros and cons of each approach and discuss how market participants are addressing this challenge. Ba

Mid-90s witnessed the influx of Physics and Maths PhDs to Wall Street in large number. The likes of Goldman, Merrill Lynch and Morgan Stanley would make beelines to the pristine campuses of Columbia, Harvard and Wharton to hire their Quant PhDs as associates to do the complex Maths behind Derivative models. Many of the academically oriented quants (Maths and Physics PhDs) decided to take a shot at this new-found career option with the I-banks to try out what they learnt in

Banks face significant challenges in managing liabilities without contractual maturities—such as demand deposits and savings accounts—due...

The reinsurance sector is undergoing a structural transformation as it grapples with an increasingly complex and interconnected global...

Today I want to talk about one of the basics in the AI Governance world: Algorithmic Risk Assessments.  As the EU AI Act is starting to...