Credit NMRF Roundtable April 2018

In April 2018, Percentile brought together a number of industry experts for our fourth roundtable, this time to focus specifically on risk factor modellability for FRTB as it applies to credit trading. We also plan to hold roundtables for other asset classes based on demand and interest. We hold these roundtables to collaborate with like-minded practitioners on the understanding of complex regulatory challenges such as those posed by FRTB and share the knowledge gained with the relevant risk management community.

We wish to thank all who contributed, and particularly ING Bank for hosting this session at their offices in London. Our early morning discussion was also fuelled by breakfast kindly provided by ING.

The Credit NMRF Roundtable attendees were from:

  • CIBC
  • Deutsche Bank
  • ING
  • Lloyds Banking Group
  • Morgan Stanley
  • MUFG
  • Percentile

The attendees were members of front office trading, risk management and risk methodology teams from these global firms and are directly involved in FRTB IMA implementation and Credit Trading. The session went on for over two hours during which there was ample discussion and debate, with plenty of detail and practical examples thrown in.

The overall agenda:

  • March 2018 Consultation Paper
  • Credit NMRF Challenges
  • Risk factor mapping for credit transactions
  • Data sources

This paper summarises the Credit NMRF discussion from Percentile’s perspective. It should not be seen as official opinion or methodology for any of the attending firms. We thank the attendees for the open and constructive discussion and their active participation.