Latest Insights

The case for a forward-looking approach in savings modeling

A key challenge for risk modelers is to assess whether the available historical data is representative for the (near) future. This determines to a large extent whether a more backward-looking or a forward-looking approach is needed.

Climate change risk

The pivotal role of banks in the transition to a sustainable economy

Amidst the aftermath of the corona pandemic and the unfolding tragedy in Ukraine, the Intergovernmental Panel on Climate Change (IPCC) published its latest report1 on climate change on 28 February 2022, containing a more alarming message than ever before.

The ECB 2022 climate risk stress test started

This is the first time that the European Central Bank (ECB) has selected climate risk as topic for its 2022 annual supervisory stress test, which is part of the Supervisory Review and Evaluation Process (SREP). In October, the ECB published the outline and main characteristics of this stress test. This article summarizes the main methodology outlined by the ECB.

EBA’s binding standards on Pillar 3 disclosures on ESG risks

On 24 January 2022, the European Banking Authority (EBA) published its final draft Implementing Technical Standards (ITS) on Pillar 3 (P3) disclosures on Environmental, Social and Governance (ESG) risks. This publication fits nicely into the ‘horizon priority’ of the EBA to provide tools to banks to measure and manage ESG-related risks. In this article we present a brief overview of the way the ITS have been developed, what qualitative and quantitative disclosures are required, what timelines and transitional measures apply – and where the largest challenges arise.

The EBA expects banks to expand their CSRBB framework

On 2 December 2021, the European Banking Authority (EBA) published three consultation papers related to its ‘Guidelines on the management of interest rate risk arising from non-trading book activities’ (in short, the IRRBB Guidelines). In this article, we focus on one of these consultation papers, concerning the update of the IRRBB Guidelines.