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Summary
Join us as we explore the latest regulatory developments in Credit Spread Risk in the Banking Book (CSRBB). With the EBA expected to issue further guidance and the ECB – along with national regulators – inspecting current practices, institutions face questions over expanding perimeters, increased scrutiny, and new operational challenges. Our panel will discuss recent supervisory feedback, implications for asset and liability management, and practical strategies for compliance.
Don’t miss this opportunity to stay ahead of evolving expectations and industry best practices.
Topics of discussion:
- CSRBB perimeter: What asset and liabilities should be included?
- The metrics used to monitor the CSRBB: EVE based approach, NII
- Internal teams involved in the CSRBB monitoring: ALM teams within Finance division/or Risk division, market risk teams, others?
- Does CSRBB have a place in the risk management of your bank beyond regulatory requirements?
- What do we expect from additional EBA requirements, if and when they appear?
Speakers
S&P Global Market Intelligence
Gavan Nolan
Executive Director, Business Development and Research, Fixed Income Pricing
Gavan Nolan, a specialist in credit markets, is an Executive Director responsible for business development and co-heads research for Fixed Income Pricing at S&P Global Market Intelligence.
A published author, Gavan has written about the credit markets from the accounting scandals of the last decade through the financial and European sovereign debt crises. He is a well-known commentator on the credit default swaps (CDS) markets, including credit fundamentals and CDS mechanics, in particular ISDA definitions, credit events and auctions. He has been a frequent contributor to both print and broadcast media, and quoted in Financial Times, Wall Street Journal, Daily Telegraph, Bloomberg, Reuters, Dow Jones, Global Capital, CNBC and BBC's R4 Today programs. Gavan played a key role in developing the Markit CDS pricing product, the leading service in the CDS market. Prior to joining Markit in 2003, now S&P Global, he worked at J.P. Morgan and TD Securities in a variety of fixed-income roles.
Gavan holds a Bachelor of Science in Economics from Queen Mary College, University of London, UK
MPG Partners
Christophe Bertet
Partner
Christophe has over 20 years of experience in risk management and finance, primarily in the banking sector. He joined MPG Partners in 2019 as a Senior Advisor before becoming a partner in 2023. Previously, he worked in various French banks, initially in risk analysis (market, counterparty, credit, ALM), then in managing risk teams and model validation. He now works on project management assignments in the banking environment (investment banking or retail banking).
Since 2023, he has assisted several major French banks in implementing their CSRBB framework, helping them to comply with regulatory requirements.
Questions?
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