Mr. Krishan Bhandari, Head - Risk Management at IndusInd Bank presented this at the Risk & Fraud Management Track at SAS Forum India 2014. The presentation talks about Internal Measurement Approach (IMA) in risk management, its challenges, benefits and real life examples.
6. Market Risk â Measure and Save yourself
⢠Measure:
⢠Value at Risk (IMA)
⢠Look Back - assess
⢠Stress yourself
⢠Measure the Tail
ď§ Save yourself
â Improve the Governance
â Expect the unexpected
â Price the Risk
â Provide Capital
8. IMA â How did we do?
â˘Risk Centric / Sensitive Management
â˘Choose a robust / scalable system
â˘Detailed Scope of Work
â˘Educate and sensitize others departments
â˘Reinforce the current practices
â˘Introduce the latest practices
â˘Move towards best in the breed practices
â˘Have quality Market data
â˘Implementation in Phased Manner
â˘Data Refinement in source systems
â˘Detailed Documentation
9. IMA â Challenges we faced
â˘Source data from Multiple systems
â˘Lack of granularity in data as required for IMA
â˘Lack of quality market data
â˘Bank portfolio based Stress VaR
â˘Lack of daily credit spreads for Specific VaR