d-fine’s Post

If you want to become pro in Market Risk Modeling, you should definitely read this documents prepared by Basel Commitee ♥️♥️ The documents talk about sensitivity, Delta Risk, Vega Risk, Curvatures Risk, Value at Risk, Expected Shortfall, Jump-to-Default, Liquidity Horizon, back testing, P&L Attribution, Credit valuation adjustment (CVA), CVA risk and much more. 💯💯💯 It also mentions the Standardized Approach (SA) and the Internal Models Approach (IMA). 🎯🎯 The Standardized Approach (SA) requires banks to use fixed risk weights set by regulators for calculating capital requirements, making it simpler and more prescriptive. 🎳🎳 The Internal Models Approach (IMA) allows banks to use their own risk assessment models, offering more flexibility but requiring regulatory approval and sophisticated risk management systems.🎳🎳 #quantitativefinance #riskmodeling #Basel #financialenginerring #modeling #tradingbook #bankingbook

🚨 Regulatory Radar🚨 Full Basel III and FTRB implementation plan will be delayed for another six months, according to the Financial Times. For the last couple of years, the risk, compliance and change functions across financial institutions have been coping with a tremendous pressure to absorb and deliver multiple regulatory requirements. Verdantix | Risk Management 📈 ▶ Source: https://lnkd.in/e__buTCg #riskmanagement #compliance #basel #financialrisk #capital #FRTB

The Basel Committee on Banking Supervision has released a consultative document to tackle persistent issues in Counterparty Credit Risk (CCR) management. This follows significant failures, including the $10 billion loss from Archegos Capital Management in 2021 and market disruptions in 2022-2023. Key weaknesses identified include due diligence during onboarding and ongoing assessments, credit risk mitigation practices, risk measurement practices, and governance oversight. Building on the 1999 "Sound Practices" report, the new guidelines incorporate insights from credit and market risk management to address these deficiencies. Read along to know more! #RiskManagement #RiskMitigation #Regulations #Guidelines

🌟 Join us for an insightful webinar on the latest developments in counterparty credit risk management 🌟 Date: Wednesday, June 26 Time: 3:00 PM BST In the wake of recent high-profile CCR failures and market disruptions, Basel is sparking a new debate on anti-Archegos rules. To address these pressing issues, Risk.net and S&P Global Market Intelligence are teaming up to present a webinar that dives deep into banks' strategies for optimizing credit risk mitigation and effectively managing counterparty exposures. Make sure to register today: https://hubs.li/Q02BGxvb0 #webinar #counterpartyrisk

LARIX risk consulting officially responded to the European Banking Authority EBA/CP/2023/04 "Consultation on draft RTS on the assessment methodology under which competent authorities verify an institution's compliance with the [FRTB] internal model approach". Among other questions, the consultation was asking comments from the industry on the EBA's proposal - the first among regulators - to introduce direct Expected Shortfall backtesting alongside with the current validation tests (two VaR backtests and a twofold PnL attribution test (PLAT)). We applaude the proposal, as a first step toward the more ambitious goal of replacing the said tests altogether, which requires harmonization of efforts at a higher, cross-jurisdictional level (read: Basel). Here attached are our thoughts on the subject, which are publicly available on the EBA website, next to different opinions

The share of European banks’ operational risk calculated using internal models has been shrinking steadily over the past two years as firms get ready for the implementation of the updated Basel III framework requiring all dealers to shift to a new standardised measurement approach (SMA).

Increased Regulatory Focus I could not resist but notice numerous risk management-related guidelines issued by various banking regulators in the past six months. Listing some of the noticeable ones:   1. FOLLOW-UP REPORT FROM THE CONSULTATION ON THE DISCUSSION PAPER ON MACHINE LEARNING FOR IRB MODELS from EBA (refer to https://lnkd.in/dDTXf3fG) 2. OCC, Fed, and FDIC seeking public comments on Basel III endgame / Basel IV (whatever name you want to use) – Regulatory capital rule: Amendments applicable to large banking organizations and to banking organizations with significant trading activity (https://lnkd.in/dH7nZAym) 3. PRA’s policy statement PS6/23 – Model risk management principles for banks (refer to https://lnkd.in/dxS4-RuY) 4. CBUAE’s model management standards and guidance (refer to https://lnkd.in/dR7h9TTG and https://lnkd.in/dZgaT_aq) I am amazed by the adoption of best practices guidelines issued by the local regulator – some in the public domain (e.g., on model management standards and guidance) and some issued to the banks separately. A peek into the minutes of the meeting (https://lnkd.in/d6BRU4vh) gives the strategic view of the CBUAE. I am almost certain that every bank and consulting firm is doing a deep-dive, impact analysis, point of view, whitepaper, thought leadership, etc. on the applicable topics. Let’s wait and see for practical, actual, and actionable insights. I maintain my stance - it is the right time to be in the risk management area. Happy to connect with like-minded folks or folks seeking career guidance in the risk management space. Happy to collaborate and help, subject to bandwidth. #regulations #eba #occ #fed #fdic #pra #cbuae #basel #irb #machinelearning #modelriskmanagement #riskmanagement #jobready

The ECB releases the Guide on effective Risk Data Aggregation and Risk Reporting (RDARR) Strengthening Capabilities: The Guide serves as a comprehensive resource, outlining essential prerequisites for effective RDARR. Drawing from industry best practices, it empowers banks to bolster their risk management frameworks. Supervisory Expectations: Aligned with the Basel Committee on Banking Supervision’s Principles (BCBS 239), the Guide reinforces supervisory expectations in this critical domain. It provides clarity and guidance to ensure adherence to international standards. Complementary Guidance: While building upon existing guidance from 2016, the Guide offers additional insights and specificity to address evolving challenges. It complements ongoing supervisory activities and public communications, enriching the regulatory landscape. https://lnkd.in/exrBH_-j #RiskManagement #BankingSector #Guidelines #RDARR #BCBS239 #Finance #RegulatoryCompliance #ECB

How can banks shore up their counterparty risk management? The Fed's Vice Chair for Supervision, Michael S. Barr, has outlined 4 key priorities for firms looking to sure-up their counterparty credit risk management. Here are the key takeaways from the speech. #fed #riskmanagement #credit

Before SS1/23 goes into effect, let's take a look at how it differs from SR 11/7. Issuing body: SR 11/7: Issued by the Federal Reserve Board, targeting US banks. It serves as supervisory guidance, offering best practices for model risk management. S1/23: Issued by the Prudential Regulation Authority (PRA) of the Bank of England, targeting UK banks. It outlines mandatory regulatory requirements for banks to comply with. Focus and purpose: SR 11/7: Provides a more principles-based approach, focusing on supervisory expectations and encouraging sound model risk management practices. S1/23: Lays out stricter regulatory requirements. Banks must adhere to these specific rules to ensure they are effectively managing model risk. Specific requirements: SR 11/7: Offers a more flexible, risk-based approach. Banks can tailor their model risk management practices based on the specific risks associated with their models. S1/23: Provides a more prescriptive approach, outlining specific actions and controls that banks need to implement to manage model risk. Overall approach: SR 11/7: Encourages a culture of risk management through guidance and best practices. S1/23: Enforces stricter rules to ensure a certain level of model risk management across all UK banks. #MRM #Modelriskmanagement #Banks