Credit Suisse Case Study

1045 Words5 Pages
Financial institutions like Credit Suisse trade in variety of financial instruments. This exposes these institutions to various types of risks. It is the responsibility of Risk Management group within the organization to identify, measure, and then drive the management of the risks. At Credit Suisse, Risk Measurement & Management (RMM) is responsible for risk management. The group is divided into 3 subgroups • Credit Risk Management • Risk Analytics & Reporting (RAR) • Strategic Risk Management (SRM) Credit Suisse measures market risk as VaR using historical simulation model. The implemented VaR model is based on sensitivity based computation and not on full assets revaluation. Market Risk Quality performs various processes for the functioning…show more content…
As part of the CAD2 remediation work, Credit Suisse re-launched the RFI process in 2011. Paragraph 7.10.53 states – ‘A firm’s VAR model must capture accurately the entire material price risks for positions within the scope of the firm’s VAR permission, which includes risks relating to options or option-like positions. Firm need to ensure that, if its VAR model is not accurately capturing any material risks, then the firm has adequate resources to cover that risk. These capital resources must be additional to those required to meet its capital resources requirement.’ This report gives brief overview of risk and MRQ processes and gives a detail insight about the Risk Factor Identification. Product Based Approach is discusses. The Process and the interlinking of both the approaches are discussed and my achievements in the process are also discussed. Capital Adequacy Directive The Capital Adequacy Directive was a European directive that aimed to establish uniform capital requirements for both banking firms and non-bank securities firms first issued in 1993 and revised in 1998. These were superseded by the Capital Requirements Directives starting in…show more content…
Financial Market A financial market is a market in which people and entities can trade commodities, financial securities and fungible items of value at low transaction costs and at the prices which reflect demand and supply. These securities include bonds and stocks, and the commodities include agricultural goods or precious metals. In economics, generally, the term market means the aggregate of possible sellers and buyers of a certain service or good and the transactions between them is referred. This term "market" is also used for what are more strictly exchanges, and organizations that facilitate the trade in financial securities, for e.g., commodity exchange or a stock exchange. This can be a physical location like the NYSE, BSE, and NSE or can also be an electronic system like NASDAQ. The most trading of stocks takes place over an exchange; still, mostly corporate actions (merger, spinoff) are outside an exchange system, while any two companies or individuals, for whatever reason be, may agree to sell stock from the one to the other without using an exchange i.e. over the
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