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Mensuel de mai 2023 - Economie / Banques

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Credit Risk: how to address the economic capital requirement?
By Julian NIKOLLA, Director - Head of Risk Management Department Alessio MONETTI, Consultant - Risk Management Department, HACA Partners S.à r.l.   An overview of some quantitative approaches related to concentration and climate risk   The “Capital Requirement Directive (2013/36/EU)” requires institutions to put “in place sound, effective and comprehensive strategies and processes to assess and maintain on an ongoing basis the amounts, types and distribution of internal capital that they consider adequate to cover the nature and level of the risks to which they are or might be exposed”. This article provides a bases of what is broadly known by the actors of the financial system, including institutions and regulators, as the ICAAP(1...
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