PwC basel-iv-revised-standardised-.pdf

Basel IV: Revised Standardised
Approach for Market Risk
Increasing risk sensitivity through the
“Sensitivities-based Method”
www.pwc.com
Overview of all
requirements of the revised
Standardised Approach for
Market Risk.

Revised Standardised Approach for Market Risk 3
Contents
Preface.................................................................................................................. 5
The revisions to the existing regulatory framework are focusing on
determination of risk weighted assets................................................................... 8
The FRTB addresses material weaknesses of the current market risk
framework exposed by the financial crisis … ....................................................... 9
… and aims to replace the existing regulation and harmonizes the
treatment of market risk across national jurisdictions........................................ 10
The FRTB introduces several enhancements to the existing framework............. 12
FRTB Framework: Sensitivities-based Method................................................... 13
The revisions to the standardised approach (Sensitivities-based Method)
aim to increase risk sensitivity............................................................................ 14
Sensitivities-based Method Definitions that cover the main concepts ................ 16
FRTB framework uses seven risk classes............................................................. 18
Linear risks within the Sensitivities-based Method are captured with
delta and vega risk factors.................................................................................. 22
Non-linear risks within the Sensitivities-based Method are captured
with the curvature risk factor............................................................................. 24
The final risk charge for the Sensitivities-based Method is determined
based on three correlation scenarios.................................................................. 26

4 Revised Standardised Approach for Market Risk
The default risk charge is intended to capture the jump-to-default risk.............. 28
The residual risk add-on is introduced to ensure that the model provides
sufficient coverage of the market risks................................................................ 30
FRTB Impacts..................................................................................................... 33
FRTB will have significant impacts on banks in terms of their operational
capability, infrastructure, risk measurement, reporting and other areas........... 34
Typically substantial regulatory changes can be challenging for
institutions......................................................................................................... 36
Banks will experience significant increase in capital charges under the
revised standardised approach........................................................................... 37
Our Services....................................................................................................... 39
PwC has developed an MS-Access-based tool that complies
with the final BCBS 352 standards...................................................................... 40
With the tool we are able to do the necessary calculations for the
standardised approach....................................................................................... 41

Preface

Starting in 2012, the Basel Committee published several consultation
papers on a Fundamental Review of the Trading Book (FRTB) to
adapt existing rules for the capitalization of market risk to the
lessons learned and shortcomings that became evident during the
financial crisis. This fundamental review covers all aspects of
minimum capital requirements for market risk such as the trading
book – banking book boundary, the standardized approach as well as
the use of internal market risk models.
Among the proposed changes, none has more profound impacts than the revised
standardized approach – the so called Sensitivities-based Method. In fact,
it is less a standardized method than an internal model approach, developed by
the supervisors. It leads to an enormous increase in data requirements and
complexity of calculations compared to the current approaches. And it will
also have a significant impact on risk weighted assets, especially with regard
to positions subject to optionality or credit spread risks.

The BCBS expects the proposed changes to enter into force in 2019. They will
have to be implemented by standardized approach and internal model banks
alike.
This brochure will help you gain an overview over the proposed rules to
prepare for the tasks ahead.
Kind regards,
Martin Neisen
Global Basel IV Leader
Oliver J. Rosenberg
Global Basel IV Standardised Approach
Workstream Leader

The revisions to the existing regulatory framework are
focusing on determination of risk weighted assets
The Basel III framework has focused mainly on banks’ own funds requirements.
Currently, the Basel Committee on Banking Supervision (BCBS) is in the process
of revising the standardised approaches for calculating minimum capital
requirements. The industry already summarises these revisions under the term
“Basel IV”. While the BCBS has not yet officially recognized this term the
outcome is very clear: The revisions will have a fundamental impact on the
calculation of risk weighted assets and capital ratios of all banks regardless
of their size and business model.
Capital requirements
Step-in
risk
CVA risk
Operational
risk
Market
risk
Counter
party
credit risk
Securiti
sation
Credit risk
Capital
floors
(BCBS 306,
BCBS 362)
SA counter-
party credit
risk
(BCBS 279)
Interest rate
risk in the
banking
book
(BCBS 368)
Fundamental
review of
the trading
book
(BCBS 352)
SA for
credit risk
(BCBS 347)
Revisions to
operational
risk
(BCBS 355)
Revisions
to the
securiti
sation
framework
(BCBS 374)
Review of
the CVA risk
framework
(BCBS 325)
Step-in risk
(BCBS 349)
Fig. 1 Areas of revision by the BCBS

The FRTB addresses material weaknesses of the current market
risk framework exposed by the financial crisis …
Fig. 2 The fundamental review of the trading book (FRTB): An Overview
Material weaknesses of current approaches … … require fundamental review
“The financial crisis exposed material weaknesses in the overall design of the framework for
capitalising trading activities.” (Basel Committee on Banking Supervision, October 2013)
Trading book – banking
book boundary
Treatment of credit risk
in the trading book
•
Banking book/trading book boundary to be more
objective
• Additional tools for supervision
1
Weaknesses of VaR
approach
Hedging and
diversification
•
New standardised approach increases risk sensitivity
of RWA calculation
• Marked increase of complexity
2
Liquidity of trading
book positions
Transparency and
comparability of RWA
•
Internal models approach using Expected Shortfall (ES)
instead of Value-at-Risk (VaR)
•
Changes to model approval process
•
Floor based on standardised method
3

… and aims to replace the existing regulation and harmonizes
the treatment of market risk across national jurisdictions
During the last crisis it turned out that the regulatory capital for market risk
was not adequate enough to cover these risks. Therefore the Basel Committee on
Banking Supervision has created with the fundamental review of the trading
book (FRTB) a new framework to replace the old market risk regulation defined
under “Basel II.5”. The intention is “to improve trading book capital requirements
and to promote consistent implementation of the rules so that they produce
comparable levels of capital across jurisdictions”.
Fig. 3 Key objectives of the FRTB
The proposals reflect BCBS’s key objectives
•
To develop an effective trading book/banking book boundary condition,
•
to achieve a regulatory framework that captures and capitalises all market risks in the trading book,
•
to improve risk measurement techniques and
•
to achieve comparable levels of capital across internal risk models and the standardised approach.

The history of the trading book regime
1996 Basel I
First methodology laid out by the BCBS to set out
capital requirements for market risks. The amendment
to the Basel Capital Accord included a standardised
approach and an internal models approach.
2004 Basel II
The amendment was further revised in 2005.
The paper changed the trading book regime.
2009 Basel 2.5
First attempt by the BCBS to address the trading book
issues revealed by the global financial crisis. Revisions
to the Basel II market risk framework. 2012 FRTB
The BCBS issued the fundamental review of the
trading book (FRTB) consultation paper.
2012–2015
Two more consultative papers and four
quantitative impact studies.
2016 Revised standards
In January 2016 the Basel Committee on Banking
Supervision (BCBS) published revised standards
for minimum capital requirements for market risk.
2019
BCBS’s deadline for local regulation
in January 2019
End of 2019
Deadline for final implementation.

The FRTB introduces several enhancements to the existing
framework
Fig. 4 Overview of the enhancements to the existing market risk framework
Regulatory boundary
between trading and
banking book
•
New defined list of instruments presumed to be included in the trading book or banking
book. Deviation requires explicit approval from supervisor.
•
Strict limits on the movement of instruments between the books after initial designation.
Should a re-designation be approved a capital benefit will not be allowed.
•
The new risk measure for market risk according to FRTB is the Expected Shortfall (ES).
•
ES is a coherent risk measure, whereas Value-at-Risk (VaR) is not due to the missing
sub-additivity feature.
•
Banks must calibrate the ES to periods of significant market stress.
•
This new metric will help to capture the tail risk and so maintain adequate capital during
periods of significant market stress.
From VaR to
ES
•
Significant changes with introduction of Sensitivities-based methodology.
•
The revised standardised approach will act as a floor to the internal models approach.
Revised
standardised
approach
•
Varying liquidity horizons included in the internal models approach.
•
Replaces the static 10 day liquidity horizon currently assumed in the VaR framework.
Inclusion of
market illiquidity
•
Supervisors will review the use of internal models at desk level.
•
More rigorous model approval process using both qualitative and quantitative criteria.
Revised approach
to approval for
internal models

FRTB Framework
Sensitivities-based
Method

The revisions to the standardised approach (Sensitivities-based
Method) aim to increase risk sensitivity
The standardised approach mimimum capital requirement is the sum of
three components: Sensitivities-based Method and default risk charge provide
the main risk factors which are supported by residual risk add-on to sufficiently
cover market risks.
Delta risk Curvature risk
Vega risk
Default risk
charge
Residual risk
add-on
Non-linear risk
Linear risk

1. Sensitivities-based Method 2. Default risk charge 3. Residual risk
add-on
Standardised approach
Delta risk
Options only
Vega risk Curvature risk
Delta: A risk measure based on sensitivities of
a bank‘s trading book positions to regulatory
delta risk factors.
Vega: A risk measure that is also based on
sensitivities to regulatory vega risk factors
to be used as inputs to a similar aggregation
formula as for delta risks.
•
Calculation of three risk charge figures based on three different scenarios on the specified values for the correlation
parameter.
•
The bank must determine each delta and vega sensitivity based upon regulatory pre-defined shifts for the
corresponding risk factors.
•
Two stress scenarios per risk factor have to be calculated and the worst scenario loss is aggregated in order to
determine curvature risk.
A risk measure
which captures the
incremental risk not
captured by the delta
risk of price changes in
the value of an option.
A risk measure that
captures the jump-to-
default risk in three
independent capital
charge computations.
A risk measure to
capture residual
risk, i.e. risk which
is not covered by the
components 1. or 2.
Fig. 5 Overview of the revised standardised approach
Linear risk Non-linear risk

Sensitivities-based Method
Definitions that cover the main concepts
The main concepts of the Sensitivities-based Method are given by the supervisor.
Especially the relevant risk classes differ in parts from the risk classes used in
the current approach.
Vega risk
Default risk
charge
Residual risk
add-on
Non-linear risk
Linear risk

Fig. 6 Overview of the definitions that cover the main concepts
Risk
class
Definition of seven risk classes for the Sensitivities-based Method:
•
Variables (e.g. a given vertex of a given interest rate curve or an equity price) within a pricing function
decomposed from trading book instruments
•
Risk factors are mapped to a risk class
Risk
factor
•
Main input that enters the risk charge computation
•
Delta and vega risks: sensitivity to a risk factor
•
Curvature risk: worst loss of two stress scenarios
Risk
position
Set of risk positions which are grouped together by common characteristics
Bucket
•
Amount of capital that a bank should hold as a consequence of the risks it takes
•
Computed as an aggregation of risk positions first at the bucket level, and then across buckets within a
risk class defined for the Sensitivities-based Method
Risk
charge
GIRR Equity Commodity FX
CSR (non-SEC) CSR (SEC) CSR (CTP)

FRTB framework uses seven risk classes (1/2)
GIRR, Equity, Commodity FX
Vega risk
Default risk
charge
Residual risk
add-on
Non-linear risk
Linear risk
Fig. 7
Overview of risk classes and corresponding risk buckets, risk weights
and correlations (1/2)
GIRR
(General interest rate risk)
Equity
Commodity
Foreign Exchange (FX)
Each bucket represents an individual currency
exposure to GIRR
•
Buckets are depending on market capitalisation,
economy (emerging or advanced) and sector
•
Total of 11 buckets (e.g. consumer goods and
telecommunication)
Eleven buckets are defined for commodity (e.g. energy,
freight, metals, grains oilseed, livestock and other
agriculturals)
No specific FX buckets
Risk buckets

Risk weights
•
Risk weights (RW) depending on vertices ranging
from 0.25 years to 30 years
•
Risk weights are ranging from 1.5% to 2.4%
•
Differentiation between risk weights to equity spot
price and equity repo rate
•
Risk weights for equity spot price ranges from
55% to 70%
•
The risk weights depend on the commodity buckets
(which group individual commodities by common
characteristics)
•
Risk weights range from 20% to 80%
A unique relative risk weight equal to 30% applies to
all the FX sensitivities or risk exposures
Correlations
Correlations between two sensitivities are depending
on equality of buckets, vertices and curves
Correlations between two sensitivities for the same
bucket (but related to different equity issuer names)
are depending on market cap and economy and are
ranging between 7.5% and 25%
Correlations between two sensitivities (same bucket)
are defined by a multiplication of factors related to
commodity type, vertices and contract grade / delivery
location
A uniform correlation parameter equal to 60% applies
to FX sensitivity or risk exposure pairs

FRTB framework uses seven risk classes (2/2)
Credit spread risk (CSR)
Vega risk
Default risk
charge
Residual risk
add-on
Non-linear risk
Linear risk
Fig. 8
Overview of risk classes and corresponding risk buckets,
risk weights and correlations (2/2)
CSR non-securitisation
CSR correlation trading
portfolio (CTP)
CSR non-correlation
trading portfolios (n-CTP)
16 buckets defined based on credit quality and sector
The same bucket structure as for CSR non-
securitisation applies
25 buckets defined based on credit quality and sector
Risk buckets

Risk weights
•
Risk weights are the same for all vertices within each
bucket
•
Risk weights range from 0.5% to 12%
•
Risk weights are the same for all vertices within each
bucket
•
Risk weights range from 2% to 16%
Risk weights range from 0.8% to 3.5%
Correlations
•
Correlations between sensitivities within the same
bucket are depending on names and vertices of the
sensitivities, and related curves
•
Separate rules for “other sector” bucket
The risk correlations are derived the same way as for
CSR non-securitisation, but correlations based on
curves differ slightly
•
Correlations between sensitivities within the same
bucket and securitisation tranche are depending on
names and vertices of the sensitivities, and related
curves
•
Separate rules for “other sector” bucket

Linear risks within the Sensitivities-based Method are captured
with delta and vega risk factors
Vega risk
Default risk
charge
Residual risk
add-on
Non-linear risk
Linear risk
The computational procedure for linear risks can be divided into the
five calculation steps shown below. Delta and vega risk measures are based
on sensitivities of bank’s trading book positions to regulatory predetermined
delta and vega factors, respectively. These measures are used to calculate the
minimum capital requirements for Sensitivities-based method.

Assignment of
positions to risk
classes, buckets
and risk factors
•
Delta and vega risks are computed using the same
aggregation formulae on all relevant risk factors
•
Separate calculation (no diversification benefit
recognised)
Calculation of
the risk factor’s
sensitivities
e.g. for GIRR: •
The sensitivities are defined by the supervisor
•
Sensitivities for each risk class are expressed in
the reporting currency of the bank
Calculation of
weighted sensitivities
per bucket via given
supervisory RW
The corresponding RW are defined by the supervisor
Aggregation of
weighted sensitivities
per bucket
The risk position for bucket b, Kb
, must be
determined by aggregating the weighted
sensitivities to risk factors within the same bucket
using the corresponding prescribed correlation ρkl
Aggregation of
capital charge on risk
class level
•
The risk charge is determined from risk positions
aggregated between the buckets within each risk
class
•
Sb
and Sc
are the sums of the weighted
sensitivities in the corresponding buckets
Fig. 9 Overview of the computational procedure for the linear risk charge
Calculation Supervisory formulae Details
1
2
3
4
5
All
posi-
tions
Bucket
Risk
class
Risk
factor

Non-linear risks within the Sensitivities-based Method are
captured with the curvature risk factor
Vega risk
Default risk
charge
Residual risk
add-on
Non-linear risk
Linear risk
The computational procedure approach for non-linear risks can be divided
into three calculation steps that are shown below. The curvature risk measure
represents the incremental risk not captured by the delta risk of price changes
in the value of an option.

Finding a net
curvature risk
charge CVRk
across
instruments to
each curvature
risk factor k
•
Only for risk positions with explicit or
embedded options
•
Two stress scenarios are to be
computed per risk factor (an upward
shock and a downward shock)
•
The worse potential loss of the
two scenarios, after deduction of the
delta risk positions, is the outcome of
the first scenario
Aggregation of
curvature risk
exposure within
each bucket using
the corresponding
prescribed
correlation ρkl
• (CVRk
, CVRl
) is a function that takes
the
value 0 if CVRk
and CVRl
both have
negative signs
•
In all other cases, (CVRk
, CVRl
)
takes the value of 1
Aggregation of
curvature risk
positions across
buckets within
each risk class
(Sb
, Sc
) is a function that takes the
value 0 if Sb
and Sc
both have negative
signs. In all other cases, (Sb
, Sc
) takes
the value of 1.
Fig. 10 Overview of the computational procedure for the non-linear risk charge
1
2
3

The final risk charge for the Sensitivities-based Method is
determined based on three correlation scenarios
Vega risk
Default risk
charge
Residual risk
add-on
Non-linear risk
Linear risk
In order to address the risk that correlations increase or decrease in
periods of financial stress, three risk charge figures are to be calculated for
each risk class. This is done by using multipliers for correlation parameters ρ
(correlation between risk factors within a bucket) and γ (correlation across
bucket within a risk class).
Capital charges must be calculated for each correlation scenario.
The final capital charge is the largest of these scenario-related capital charges.

Fig. 11 Overview of the correlation scenarios
The correlation scenarios
Medium correlations
Multiplier
1
Low correlations
Multiplier
0.75
High correlations
Multiplier
1.25
Sensitivities-based Method capital charge

The default risk charge is intended to capture the jump-to-
default risk
Vega risk
Default risk
charge
Residual risk
add-on
The default risk charge is independent from the other capital charges for CSR
non-securitisations and securitisations in the standardised approach.
Non-linear risk
Linear risk

Calculation
of gross JTD
positions
The jump-to-default (JTD) risk is computed
for each instrument separately. JTD risk is a
function of notional amount (or face value)
and market value of the instruments and
prescribed Loss given Default (LGD) figures.
Hedge benefit
recognition
In order to recognize hedging relationship
between long and short positions within a
bucket, a hedge benefit ratio is computed
and applied to discount the hedge benefits.
Bucket allocation
and calculation
of weighted net
JTD positions
and default
capital charge
(DRC)
•
JTD positions are allocated to buckets
and weighted. For non-securitization risk
weights are prescribed and for securitization
risk weights are to be computed applying
the banking book regime.
•
For non-securitization and securitization
NCTP the overall capital charge is the
simple sum of the bucket level risks. For the
correlation trading portfolio capital charge
is the sum of positive bucket level risks and
half of the negative bucket level risks.
Fig. 12 Overview of the computational procedure for the default risk charge
Calculation
of net JTD
positions
The net JTD risk positions are calculated by
using specified offsetting rules.
e.g. Non-securitisation: long bond position
and short equity position to the same obligor
e.g. for non-securitization and securitization
non-correlation trading portfolio (NCTP)
1
2
3
4

The residual risk add-on is introduced to ensure that the model
provides sufficient coverage of the market risks
Vega risk
Default risk
charge
Residual risk
add-on
As not all market risks can be captured with the standardised approach without
necessitating an unduly complex regime, a residual risk add-on was
introduced to the framework. It is to be calculated for all instruments
bearing residual risk separately and in addition to any other capital
requirements within the standardised approach. The scope of instruments that
are subject to the residual risk add-on must not have an impact in terms of
increasing or decreasing the scope of risk factors subject to the other
standardised approach components.
Non-linear risk
Linear risk

Fig. 13 Overview of the residual risk charge
Calculation Details
Criteria for instruments bearing other residual risks
Residual risk add-on

Instruments subject to vega or curvature risk capital
charges in the trading book and with pay-offs that
cannot be written or perfectly replicated as a finite linear
combination of vanilla options with a single underlying
equity price, commodity price, exchange rate, bond price,
CDS price or interest rate swap
A non-exhaustive list of other residual risks types and
instruments that may fall within the criteria
Instruments which fall under the definition of the
correlation trading portfolio (CTP), except for those
instruments which are recognised in the market risk
framework as eligible hedges of risks within the CTP
The following risk types by itself will not cause the
instrument to be subject to the residual risk add-on
•
The residual risk add-on is the simple sum of gross notional amounts of the instruments
bearing residual risks
•
RW = 1.0% for instruments with an exotic underlying (e.g. longevity risk, weather or
natural disasters)
•
RW = 0.1% for instruments bearing other residual risks
Gap risk, correlation risk and behavioural risk
Smile risk (a special form of the implicit volatility risk
of options) or dividend risk arising from a derivative
instrument

FRTB Impacts

FRTB will have significant impacts on banks in terms of their
operational capability, infrastructure, risk measurement,
reporting and other areas
The institutions are faced with a variety of adjustments and changes in the
methodology of calculating the capital charge for market risk. Results of the
quantitative impact studies published by the Basel Committee (BCBS 346)
predict a simple mean increase of 41% and a weighted average
increase of 74% in total market risk capital requirements. Still,
some of this impact can be mitigated by portfolio re-optimization.

Fig. 14 Impact of the FRTB
Desk level review
•
Desk level review will likely increase the complexity of internal
models, which need to be tailored to each desk
•
Banks need to consider if they need to restructure their desks to
reduce complexity related to models and the capital calculation
Capital optimisation
•
Asset classes and trading desks
contributing mainly to the capital charge
should be identified and their portfolios
analysed
•
This may lead to the identification of data
issues increasing regulatory capital
•
Adapting the asset allocation can
minimize the capital charge
Data availability
•
Banks need to develop and maintain
architecture and infrastructure capability
•
The data processes must be checked to
provide the necessary data for correctly
mapping instruments to the trading or the
banking book and capital calculation
•
Insufficient data on instruments may result
in instruments being mapped to residual
buckets, thus increasing regulatory
capital.
Regulatory reporting
•
Business specifications must be in
place defining the aggregation final
reporting process
•
Optionality features in the portfolio
require an appropriate instrument
valuation metho
dology for the curvature
risk charge
•
Broadened supervisory scope will require
more communication between banks and
the supervisors
Portfolio review
Banks need to review their trading book to understand
how the new methodology impacts the capital
consumption
Methodology
•
Sensitivities-based methodology and expected
shortfall are significant new additions
•
Complexity of the methodology increases which
may cause challenges especially for smaller
institutions
Data
availability
Methodo-
logy
Portfolio
review
Regulatory
reporting
Capital
optimisation
Desk level
review
Market
risk
capital
charge

Typically substantial regulatory changes can be challenging for
institutions
Fig. 15 Overview of selected areas of regulatory change
Policy frameworks: As part of
implementation of the revised standards
banks need to review and revise their internal
policies and related procedures (including the
trading book policy, the market risk policy,
the model management policy, and the model
validation and backtesting policy)
Processes, models and controls: We
expect need for banks to reassess and
organize their business processes and
controls as a result of the new standards.
The representation of risk may diverge
further between business and regulatory
needs. This is likely to be reflected in the
processes and models needed to fulfil
these needs
Infrastructure: As calculation of the
standardised approach capital charge will
become mandatory for benchmarking and
fallback purposes, the need to build,
maintain and develop risk systems – as
well as data availability and quality within
the banks – increases
Resources: We expect that the changes will
cause a (temporary) demand for additional
skilled risk personnel within the banks
Special attention must be paid to several aspects of the operations and support framework

Banks will experience significant increase in capital charges
under the revised standardised approach
Figure 16 shows the increase in capital requirements under the revised
standardised approach compared to the current standardised approach.
According to the FRTB – interim impact analysis from November 2015, capital
requirements will increase for all risk classes. FX risk class faces the most radical
increase. In total, the mean increase in capital charge is 103% and the
median is 83%.
Increase in capital charge
Fig. 16 Overview of the potential impact on capital requirements
Source: FRTB – interim impact analysis (BCBS346), page 8, Table 3c, November 2015.
Note: Results are not based on the final framework.
Commodity risk 90% 30%
FX risk 115% 88%
Interest rate + Credit spread
+ Equity + Default risk
112% 37%
Total 103% 83%
Mean Median

Our Services

PwC has developed an MS-Access-based tool that complies with
the final BCBS 352 standards
Fig. 17 PwC SBA-Tool: Key facts
PwC Standardised Approach-Tool Implementation potential
MS Access-based tool for calculating the Standardised
Approach
Pragmatic test calculations
High adaptability of the tool to client specific needs
(e.g. specific analyses)
Calculation of capital requirements for
delta-, vega-, curvature and default risk
as well as additional risk add-on for all
desks
High performance regardless of portfolio size
Calculations for all asset classes are
possible
High adaption flexibility for e.g. scenario
analysis with different correlation
parameters

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SA-Tool
Front office system (Portfolio data)
With the tool we are able to do the necessary calculations for
the standardised approach
Fig. 18 Overview of the front-to-back calculation environment
PwC
front-to-back
calculation
environment
Deal data
SA-Tool
Sensitivities
Data extraction
XML standard for typical front office system supported (Murex,
Summit)
FPML format supported for Murex (other possible)
CSV/Excel

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
SBA methodology implemented (January 2016)
Sensitivities/shifts delta/scenarios calculation
Sensitivity computation
Full coverage plain vanilla products (IR, FX, EQ, Credit) some
light exotics
Extensions for other exotics possible
Sensitivities/shifts delta/scenarios calculation
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
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Data extraction formatting
FinCad F3
Valuation
Sensi
Adaptiv
Valuation
Sensi

Our Expertise
Whether regarding the Basel Committee, EU-regulation or national legislation –
we use our established know-how of the analysis and implementation of new
supervisory regulation to provide our clients with high-quality services. Embedded
into the international PwC network, we have access to the extensive
knowledge of our experts around the world.
PwC’s Basel IV Initiative was established to support you in all aspects of
getting compliant with the new regulatory requirements to the trading book –
accomplishing a prestudy as a first step, supporting you at quantitative impact
studies (QIS) up to the implementation at all business units and areas of the bank.
PwC can draw on long lasting experience of implementing new regulatory
requirements by supporting a number of banks in completing quantitative impact
studies prior to the implementation of Basel II and Basel III and by the
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consultations by the Basel Committee.

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Contacts
Global Basel IV Leader
Martin Neisen
Partner
Friedrich-Ebert-Anlage 35–37
60327 Frankfurt am Main
Tel: +49 69 9585-3328
Fax: +49 69 9585-947603
martin.neisen@de.pwc.com
Austria
Andrea Wenzel
Tel: +43 1 501 88-2981
andrea.x.wenzel@at.pwc.com
Belgium
Alex Van Tuykom
Tel: +32 2 710-4733
alex.van.tuykom@be.pwc.com
Malorie Padioleau
Tel: +32 2 710-9351
malorie.padioleau@be.pwc.com
CEE
Jock Nunan
Tel: +381 113302-120
jock.nunan@rs.pwc.com
Cyprus
Elina Christofides
Tel: +357 22555-718
elina.christofides@cy.pwc.com
Denmark
Janus Mens
Tel: +45 3945-9555
janus.mens@dk.pwc.com
Estonia
Ago Vilu
Tel: +372 614-1800
ago.vilu@ee.pwc.com

Finland
Marko Lehto
Tel: +358 20 787-8216
marko.lehto@fi.pwc.com
France
Marie-Hélène Sartorius
Tel: +33 1 56575-646
marie-helene.sartorius@fr.pwc.com
Germany
Dirk Stemmer
Tel: +49 211 981-4264
dirk.stemmer@de.pwc.com
Stefan Röth
Tel: +49 69 9585-3328
roeth.stefan@de.pwc.com
Greece
Georgios Chormovitis
Tel: +30 210 6874-787
georgios.chormovitis@gr.pwc.com
Ireland
Ronan Doyle
Tel: +353 1 792-6559
ronan.doyle@ie.pwc.com
Italy
Pietro Penza
Tel: +39 6 57083-2158
pietro.penza@it.pwc.com
Gabriele Guggiola
Tel: +39 346 507-9317
gabriele.guggiola@it.pwc.com

Latvia
Tereze Labzova
Tel: +371 67094-400
tereze.labzova@lv.pwc.com
Lithuania
Rimvydas Jogela
Tel: +370 5 239-2300
rimvydas.jogela@lt.pwc.com
Luxembourg
Jean-Philippe Maes
Tel: +352 49 4848-2874
jean-philippe.maes@lu.pwc.com
Malta
Fabio Axisa
Tel: +356 2564-7214
fabio.axisa@mt.pwc.com
Netherlands
Abdellah M’barki
Tel: +31 88 792-5566
abdellah.mbarki@nl.pwc.com
Jan Wille
Tel: +31 88 792-7533
jan.wille@nl.pwc.com
Poland
Zdzislaw Suchan
Tel: +48 22 746-4563
zdzislaw.suchan@pl.pwc.com
Portugal
Luís Barbosa
Tel: +351 213 599-151
luis.filipe.barbosa@pt.pwc.com
Russia
Nikola Stamenic
nikola.stamenic@rs.pwc.com

Slovenia
Pawel Peplinski
Tel: +386 1 5860-00
pawel.peplinski@si.pwc.com
Czech Republik
Mike Jennings
Tel: +420 251 152-024
mike.jennings@cz.pwc.com
Spain/Andorra
Alvaro Gonzalez
Tel: +34 915 684-155
alvaro.benzo.gonzalez-coloma@
es.pwc.com
Sweden
André Wallenberg
Tel: +46 10 212-4856
andre.wallenberg@se.pwc.com
Switzerland
Reto Brunner
Tel: +41 58 792-1419
reto.f.brunner@ch.pwc.com
Ukraine
Lyudmyla Pakhucha
Tel: +380 44 3540-404
liusia.pakhuchaya@ua.pwc.com
United Kingdom
Nigel Willis
Tel: +44 20 7212-5920
nigel.willis@uk.pwc.com

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