Managing Director, Product Management
Based in Paris and working on Moody’s Analytics enterprise risk solutions business, Pierre-Etienne is responsible for developing and supporting the software regulatory products line. He has a significant risk management background, specializing in credit risk, and is a regulatory expert on Basel I, II, and III.
He completed his Electronic Engineering degree from Supélec (France), has a MS in Computer Science from GeorgiaTech (US), and a BA in Economics from Paris University (France).
The Basel Committee on Banking Supervision (BCBS) published its second consultation on the capital measurement for operational risk in March 2016. This whitepaper gives a thorough overview of the BCBS's consultation and the quantitative impact study (QIS) on the proposals set out in this consultation. The results of this study and comments received are expected to be used as inputs to the final design and calibration of the operational risk framework.
The Basel Committee on Banking Supervision issued the final Basel III securitization framework in July 2016, incorporating the alternative capital treatment for simple, transparent, and comparable (STC) securitizations. This framework comes into effect in January 2018. This paper reviews the prescribed hierarchy of approaches, and looks at the potential overall impact of the framework on banks.
Coverage this month includes the BCBS's consultative document and discussion paper on Basel III; the EBA's final guidelines on implicit support for securitization transactions; the SEC's adopted rules for open-ended, mutual, and exchange traded funds; and more.
This Whitepaper provides a detailed description of the upcoming Net Stable Funding Ratio (NSFR) requirements under Basel III liquidity compliance.
In December 2013, the Basel Committee on Banking Supervision released the final policy framework for the capital treatment of banks' equity investments in funds that are held in the banking book. The final policy framework will apply to investments in all types of funds and to all banks, irrespective of whether the banks apply the Basel framework's standardized approach or an internal ratings-based (IRB) approach for credit risk. The final framework will be applicable as of January 1, 2017.
The Basel Committee on Banking Supervision (BCBS) released the final policy framework for the measurement and control of large exposures1 in April 2014. The final framework takes into account the industry comments on the March 2013 proposal2 and would replace the Committee's 1991 guidance.
This article explores the new and upcoming challenges in reporting, driven by regulatory and business needs. Institutions need to rethink their reporting infrastructures and move to an integrated approach, breaking the internal silos between risk and finance.
This paper adresses the new standardized approach for capitalizing counterparty credit risk (SA-CCR) associated with OTC derivatives, exchange-traded derivatives, and long settlement transactions introduced by BCBS in March 2014.
This month's Regulatory Insight Newsletter focuses on Liquidity Risk and Stress Testing
Learn from the experts how to untangle the many regulatory reporting challenges presented by today's Basel III, DFAST, and CCAR requirements.
This paper provides an overview of the COREP and FINREP reporting requirements, together with the challenges they present to bank management. It also proposes a framework, leveraging a centralized data platform, that helps banks to deliver integrated, consistent COREP and FINREP reports to their supervisors, on time and cost effectively.
This paper explores the integration of credit and liquidity risk in Basel III, and shows how banks can optimize their capital under Basel III.
As banks get to grips with the business and financial implications of Basel III, the next step for many is to understand how they can develop their banking infrastructure to implement the regulations. Pierre-Etienne Chabanel, Senior Director, Moody's Analytics, outlines the challenges and opportunities.