Applied Risk Process Model
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- The document outlines an applied risk process model that takes a business and data life cycle approach from deal origination through completion and from data creation to final deletion. - It details the key business processes, functions, systems, models, risks, and data involved at each stage including product development, trading, clearing, risk management, accounting, and compliance. - The end-to-end model is intended to integrate all the components needed to capture, process, monitor, analyze, and report on deals and associated risks across the business and data lifecycle.
Applied Risk Process Model
- 1. Applied Risk Process Model - A business and data life cycle approach from deal origination to completion and from data creation to final deletion Business Product Customer Pricing & Deal Clearing Transaction Risk Control Settlement Accounting Compliance Process Profile Profile Analytics Capture Process Processing & Reporting Product C/P or Market/Client Trade/ Deal Accepted Process trade Monitor open Adjust books P/L, B/S External Features & Cleared for downstream trade/position/ with C/P as per Management & Internal Corporate Opportunity Transaction tasks book for risk agreement and Reporting & Availability Ticket Details Internal or OnBoarding Position/Portfolio control & instructions External Limit check Portfolio performance RM Client Analysis Clearing Terms accepted Valuation Assessment Assessment Credit/Trade Documentation Variance Credit Approval Limit complete management C/P, Clearing Aggregation & Process Pricing & OnBoarding Market Data & Trade Entry Limit Check Aggregate C/P Exposure, Limit, Deal Closed House, Bank Breakdown Functions Criteria Margin Calc trades Collateral, Portfolio Pricing P/L Calc Book Adj. Reporting by Criteria Risk Appetite Risk Criteria Netting, Margin, product, Risk Return Clearing Matching, Excess, Capital Cash Flow Calc Deal visible business line, Terms & Compliance Process Allocation, Management on historically and Analysis Instruct division, Delivery Check Confirmation, Local and not in active Treasury & country, C/P, Risk Policy Legal Agreement Portfolio Settlement Aggregate basis folders or in risk single name Finance Balancing Details control Trading Settlement Guidelines Details Integrated Integrated Exposure, Limit, C/P a/c Financial, Risk, Risk & Systems Front End Collateral Portfolio Analytic Trade Capture Clearing Processing Collateral, Netting, Trade, Settlement Regulatory Systems Limit, Netting, Clearing House a/ Limit Risk Analytic System System Margin, Excess, & Reporting Reporting Collateral & Risk A/C System c A/C System Capital Management Systems Systems Finance & A/C Limit, Netting Portfolio Transaction Risk System Systems Treasury, Collateral Management Processing Treasury Finance-P/L, Finance, Book System System Settlement, Pricing Trade Book Credit System Trade Book Reporting Systems Txn. Processing Models Product Client Profile Portfolio Model Clearing STP Model Product Chart of A/C CRR Calc, Risk Portfolio Model Market Model Attribution Model Model RWA, Eco. Capital, Settlement RWA, Eco. CRR Calc, RWA, Eco. Stress Test, C/P, EPE Model Cap., Stress Test, C/P, Cap., Stress Risk Models – Concentration, LE,CPA Test, Credit, Market, RWA Concentration, LE, Aggregation, Mitigation, Aggregation Excess, Aggregation, Single name Single name Counterparty Credit Risk Risk Operations Credit Risk Credit Risk Operations C/P, Concentration, Settlement Operations, Regulatory, Risk Risk Market Risk Operations Risk Excess, LE, Credit, Risk Financial, Reputation Credit Risk Market Risk Risk Market, Settlement, Regulatory, & Legal Legal & Operations Operations Risk Operations, Risk Risk Reputation Risk Risk Regulatory Risk Product Customer Data Product & Market Trade Data Trade Data Trade Data Market & Trade Data Trade Data Trade Data Financial Data Data Credit Data Data Product Data Cus. Data Reference C/P Data C/P Data C/P Data Data Reference Legal Data Credit Data Customer Data Ref. Data Data Portfolio Data Fin. & Risk Financial Data Reference Data Reference Data Legal Data Reference Data Risk Data Fin. & Risk Data Data Reference Data Data Reference Data Reference Data Ref. Data