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Internal Model Approach.pptx

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Internal Model Approach Market Risk Corporation Bank Structure  Introduction  Broad Principles for RBI Approval  Qualitative Criteria for IMA Approval  Quantitative Criteria  Risk Measurement  Back Testing  Stress Testing © 2014 KPMG, an Indian Partnership and a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (“KPMG International”), a Swiss entity. All rights reserved. 2 Scope of IMA  Only Held for trading will come under
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   Internal Model Approach Market Risk Corporation Bank  2 © 2014 KPMG, an Indian Partnership and a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (“KPMG International”), a Swiss entity. All rights reserved.   Structure  Introduction  Broad Principles for RBI Approval  Qualitative Criteria for IMA Approval  Quantitative Criteria  Risk Measurement  Back Testing  Stress Testing  3 © 2014 KPMG, an Indian Partnership and a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (“KPMG International”), a Swiss entity. All rights reserved.   Scope of IMA  Only Held for trading will come under IMA  AFS  –  to continue under SMM, as markets are illiquid and market prices may not be available  If other group level entities are not ready, IMA for parent, and those entities which are ready, and SMM for others  Insignificant positions, minor currencies, negligible business areas, etc. can be under SMM  Expected to follow IMA to all market risk positions and entities in the future  Trading Book risk covers   Interest rate-related instruments and equities in trading book  Exchange rate risk trading book   Risk relating to investments in MFs in trading book  4 © 2014 KPMG, an Indian Partnership and a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (“KPMG International”), a Swiss entity. All rights reserved.   Internal model and its purpose      What is an internal model?      “A  risk management system developed by the Bank to analyze the overall risk position, to quantify risks and  required to meet those risk s”   to determine the economic capital     What is the purpose of an internal      To fully integrate processes of risk  Bank  model?   and capital management within the     IMA and VAR?      Risk Management models in use  –  far more advanced than rigid rules     Banks can use their own VaR models as basis for capital requirement for  Market Risk     VaR is a robust Risk Measurement and Management Practice 

food test.docx

Jul 23, 2017

Engleza Juridica

Jul 23, 2017
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