Objective

• Develop/redevelop Economic Risk Capital (ERC) models to quantify various types of traditional and non-traditional risks involved in different desks in the bank 
• Revamp the existing ERC framework to a robust and stable capital model particularly for non-positional risk methodologies
  

CRISIL's solution

• Designed a VaR equivalent of Expected Shortfall (ES), which allows the bank to implement a risk system based on ES as emphasised by new regulatory guidelines (FRTB)
• Developed a new methodology to estimate annual risk numbers from 10-day PnLs that successfully tackles various issues with the current methodology such as skewness and fat-tails of distributions
• Developed a generic Percentile Scaling Model, enabling the bank to scale the risk number calculated at a lower confidence level to higher confidence levels
• Redeveloping the current methodology to capture the non-positional risks such as FXT, Insurance, Pension and Business in a more robust way
  

Questions

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