The standardised and internal model approach

The standardised and internal model approach

Dionisis, can you tell the Center for Financial Professionals’ readers about yourself and your professional experience?

In terms of education I studied Mechanical Engineering in Athens (NTUA) and then did an MBA and PhD in Finance at Imperial, Business School.

My professional career started in 1998 in Risk Analytics at Credit Suisse and was Head of Risk Methodology in 2004. In 2005 I joined HBOS Treasury Services as Head of Market Risk Analytics and went through the internal model application and approval. I have been in Barclays IB since 2009, where I joined in the VaR Methodology team and am currently co-heading the Quantitative Analytics for Market Risk team.

We are looking forward to you presenting at the Risk EMEA Summit where you will be focusing on modelling approaches. When looking at the internal model approach what risk sensitivity should banks prepare for?

In the presentation I will be listing the main challenges and choices that banks face when they move to the FRTB framework. I see the biggest problem areas to be data management, from time series to proxies, to NMRF, to reporting requirements as well as the need for model accuracy and full revaluation and the computational requirements for that. While each piece in itself might not look too big all of them together add to a huge amount of complexity.

How do you see the role of the Market Risk professional changing over the next 6-12 months?

It’s a big period of change. While the theoretical requirements of the framework are not too challenging, the implementation details, system and architecture requirements are. The Market Risk professional will need to get involved in almost every detail of the implementation and architecture (from time series, to proxies, sensitivities calculation, scenario generation, valuation, P&L, reporting allocation and explain) to ensure that all the components can work together optimally to get the needed accuracy and provide the business and Risk Management the tools to navigate this complex framework.