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Mortgage valuation, a discounted cash flow method

With the advance of the current low interest rate environment and increased regulatory requirements, modeling mortgages for valuation purposes is more complex. Additionally, the applicable valuation method depends on the purpose of the valuation.

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IFRS 17: the impact of the building blocks approach

On 18 May 2017, the International Accounting Standard Board (IASB) issued the new IFRS 17 standards. The development of these standards has been a long and thorough process with the aim of providing a single global comprehensive accounting standard for insurance contracts. The new standards will have a significant impact on the measurement and presentation of insurance contracts in the financial statements and require significant operational changes. This article takes a closer look at the new standards, and illustrates the impact with a case study.

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Fit for TRIM?

Most of the larger European banks have already implemented their internal risk models quite a while ago. At the time, these models were validated and approved by the National Competent Authorities (NCAs) as the foundation for creating the required capital calculations (based on risk-weighted assets). Supervision of the 128 systemic European banks transferred from the NCAs to the European Central Bank (ECB) in 2014. The ECB will soon take a critical look at all the risk models from these systemic banks. The objective of the Targeted Review of Internal Models (TRIM) is to assess if the internal models of banks meet all the requirements, and if they are comparable to each other. The ECB is working to have TRIM finalized in 2019. Consequently, on-site investigations will take place at the systemic banks in 2017 and 2018.

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Zanders IRRBB Quick Scan

In April 2016, the Basel Committee on Banking Supervision (BCBS) issued the final standard on Interest Rate Risk in the Banking Book (IRRBB). In this standard, which will be the basis for new EBA guidelines, the BCBS recognizes that IRRBB is best captured in Pillar II due to the heterogeneous nature of IRRBB among banks.

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The FAUC™ is here – a framework and assessment

Social complexity and uncertainty have an increasing impact on our social and working lives. Complementary to traditional techniques, organizations and societies therefore require a different approach to dealing with the challenges of today and tomorrow. The Framework for Acting under Uncertainty and Complexity (FAUC™) reinforces the ability to deal with complexity and uncertainty, to act effectively and to remain viable.

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