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Benchmarking your counterparty credit risk ratings

25 Jul 2022
Tim Neijs and Annick van der Wal

financial institutions model validation risk advisory banks risk management

The use of counterparty credit ratings is standard practice for evaluating the creditworthiness of counterparties.

Fallback provisions as safety net

IBOR Reform in Switzerland, Part IV

10 Aug 2020
Martijn Wycisk and Davide Mastromarco

financial institutions ibor model validation risk advisory banks risk advisory insurers risk management saron reform valuation desk

The Swiss Average Rate Overnight (SARON) is expected to replace CHF LIBOR by the end of 2021. The transition to this new reference rate includes debates concerning the alternative methodologies for compounding SARON. This article addresses the challenges associated with the fallback provisions.

Compounded SARON and Swiss Market Development

IBOR Reform in Switzerland, Part III

10 Jul 2020
Davide Mastromarco and Martijn Wycisk

financial institutions ibor model validation risk advisory banks risk advisory insurers risk management saron reform valuation desk

The Swiss Average Rate Overnight (SARON) is expected to replace CHF LIBOR by the end of 2021. The transition to this new reference rate includes debates concerning the alternative methodologies for compounding SARON. This article aims to provide the latest updates on the Swiss National Working Group’s (NWG) view and latest market development on compounded SARON.

Calculation of compounded SARON

IBOR Reform in Switzerland, Part II

Davide Mastromarco and Martijn Wycisk

financial institutions ibor model validation risk advisory banks risk advisory insurers risk management saron reform valuation desk

Opting for limited inequality of opportunities

1 Jul 2020
Zaid Siddiqi

financial institutions model validation rating advisory risk advisory asset managers risk advisory banks risk advisory insurers risk management valution desk

While scientists and politicians do not always agree on the plan for how to fight the corona pandemic, there is consensus on one aspect: the economic crisis we have entered as a result may develop to a scale unprecedented for all of us.

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