Basel III, CRD3 and CRD4 Regulatory Methodology
A significant review of the regulatory framework after the events of 2008 has led to the reinforcement of regulation or creation of new regulatory frameworks. Incremental Risk Charge (IRC), Stressed VaR and Comprehensive Risk Measure (CRM) have come into force in Europe, whilst liquidity measures and Counterparty Value Added/Credit Value Adjustment components (CVA) in CRD4 are now under development. Some of these measures have a greater emphasis on process and data whilst others have a highly quantitative element.
CPRA has the quantitative and market expertise to assist with methodology development (with a practical implementation) and documentation.
benchMARK: mark to market validation
An application that allows clients to monitor and validate its internal marks or marks that it receives from a financial services provider. It is particularly useful in markets where no standard independent pricing source exists or where an institution needs to benchmark prices across several providers.
Third party or independent verification of models and pricing methodology is a key component of good risk practice. CPRA has undertaken model validation for clients, often in P&L Attribution or Independent Price Verification (IPV) operational functions.