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