Initial situation
The assignment comprised detailing the specific requirements of the bank with regard to risk- and limit management, including the review of existing or identified potential limit systems with regard to possible (further) use. Definition of an integrated and coordinated system solution.
Procedure
- Establishing and coordinating all relevant product categories, including the risks and limits to be monitored
- Consolidating specific requirements with regard to risk monitoring, risk analysis and reporting by the divisions concerned
- Support for establishing limit processes and ensuring flexibility for limit handling, forecast and intraday monitoring.
- Defining minimum requirements, in particular with regard to timeliness and system consolidation for monitoring the entire bank (limit monitoring across trading systems)
- Documenting any requirements with regard to further work sections and projects (e.g. with regard to evaluation models)
- Benchmarking of intraday risk measuring requirements and monitoring pursuant to MaRisk
Success
- Detailing of the requirements for a (intraday) risk and limit management
- Documentation of the requirements for the limit system and the processes to be established
- Establishment and assessment of possible risk and limit management systems (Long List)
