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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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IBOR transition effects for the insurance industry

The end of the IBOR era is near and IBOR transitions are a big challenge for both the regulators and the insurance industry. Survey results have revealed that most of the insurance firms already have a formal transition plan in place. However, these often lack details, unified planning, and strategizing investment priorities. Nevertheless, we need to anticipate for the transition before the end of 2021.

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Insurers at the boiling point

Financial impact of COVID-19

At the beginning of 2020, the coronavirus COVID-19 disrupted the world in a manner that hardly anyone was prepared for. A vast amount of resources is required to get through this phase. For insurance companies, this means facing greater uncertainty regarding the management of financial risks on their balance sheet at a time when they are already dealing with the low interest rate environment and major regulatory changes, such as IFRS 17.

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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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