Waiting for Godot

In July 2020, the ESAs informed the Commission on a new draft of the Regulatory Technical Standards (RTS) for PRIIPs. But the same EU regulators failed to endorse these technical standards. In this whitepaper we cover in detail what was on the drawing table (and what will probably come our way in the near future.

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Climate Quants

A new type of quantitative analyst will be needed by financial institutions . We are going to observe the rise of “Climate Quants”.

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When a CoCo cracks

the Single Resolution Board transferred all shares and capital instruments of Banco Popular to Banco Santander. We took the opportunity perform a sanity check of our risk models in this post-mortem analysis…

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VAR EQUIVALENT VOLATILITY

The determination of the market risk for PRIIPs relies on the concept of Variance Equivalent Volatility. In this paper we look into the calculations…

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