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“Validation is much more than a mathematical exercise”

An interview with Martijn Habing (ABN AMRO)

The risk models that banks use are validated by model risk managers. It is their role to determine whether all risks facing the bank have been properly identified. Martijn Habing, head of Model Risk Management (MoRM) at ABN AMRO bank, spoke earlier this year at the Zanders Risk Management Seminar about the extent to which a model can predict the impact of an event. After the seminar, we wanted to hear more about MoRM at ABN AMRO.

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Pandemic Stress Test

The corona pandemic scenario as a key stress event

As we live through the coronavirus crisis, people have started to gauge the economic consequences that the measures taken to combat the crisis may have. These are likely to be severe, with a significant increase in unemployment and company defaults.

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DNB publishes ‘Good Practice’

As climate-related risks may result in physical and transition risks (please see our earlier article on climate change risk for an explanation on these risk types) that may lead to significant financial losses and new challenges for banks’ risk management, the Dutch Central Bank (DNB) expects banks to understand the potential impact of climate-related risks on their balance sheets.

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SRB’s ‘Expectations for Banks’

The Single Resolution Board (SRB) published its final ‘Expectations for Banks’ report, along with an overview of SRB responses to the industry consultation.

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Consultation on the future EBA stress test framework

The European Banking Authority (EBA) is regularly executing EU-wide stress tests focussing on enhancing transparency, restoring trust in the financial sector and improving banks’ resilience after the financial crisis. To improve the stress testing methodology and processes, the EBA has organised numerous workshops and other (in)formal interactions with stakeholders.

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