Corporate and high net worth banks
Strategic Deployment / Risk Management & Regulatory Developments
Harmonize all Market Risk treatments & Set a higher capital charge - FRTB regulation
Challenges & Objectives:
- Follow the methodology on Expected Shortfall and non-modifiable risk factors (NMRF)
- Continue work on the target process (upstream controls/minimum run/calculation/certification/monitoring)
Approach & Implementation:
- Analyze the methodology documents and deduce the impacts
- Organize workshops with the Product Owner of each Business Line in order to collect the requirements expression
- Write the requirements expressions for IT (production and certification of ES metrics)
- Present these documents to IT: comments and feasibility study
Measurement & Monitoring of ACPR regulatory ratio Improvement of data quality
Objectives:
- Bringing the Group into compliance with its regulatory commitments (ACPR ratio) in terms of coverage of the internal model for valuing counterparty risk
- Improving the quality of process data to optimize the coverage of the internal model
Approach & Implementation:
- Measurement and monitoring of the ACPR regulatory ratio on the coverage rate of the internal model (IMM):
- Consolidation of calculability data and project management (arbitrations and reporting to sponsors and regulator)
- Production of KPIs on data quality and calculability in the internal model (IMM) vs. standard model (CEM), on the Regulatory (REG) and Economic (ECO) channels
- Organization of KPIs monitoring committees on the REG and ECO chains: reporting, prioritization and analysis of non-quality pockets
- Drafting of requirements for the IT team to improve data quality and coverage of the internal model
- Follow-up of the implementation of the requested evolutions and realization of UAT
Implementation of a VAP calculation & Definition of CVA sensitivity measures
Objectives:
- Implementation of value adjustment measures (CVA, DVA, FVA, CollVA) and creation of a CVA desk
Approach & Implementation:
- Design and implementation of a Prudent Valuation Adjustment calculation (CVA adjustment by taking into account bid-ask spreads on CDS):
- Definition of the methodology and source data, impact study and results analysis
- Implementation of a prototype in Excel (for a monthly calculation) and communication of the results to the parent company
- Implementation of a quarterly results note
- Drafting of procedures and expressions of need intended for the MOA
- Participation in the definition of CVA sensitivity measures:
- Determination of the main risk areas and counterparties
- Assistance in defining priorities in terms of development