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 – Measure and Save yourself
• Measure:
• Value at Risk (IMA)
• Look Back - assess
• Stress yourself
• Measure the Tail
Save yourself
− Improve the Governance
− Expect the unexpected
− Price the Risk
− Provide Capital
8. IMA – How did we do?
•Risk Centric / Sensitive Management
•Choose a robust / scalable system
•Detailed Scope of Work
•Educate and sensitize others departments
•Reinforce the current practices
•Introduce the latest practices
•Move towards best in the breed practices
•Have quality Market data
•Implementation in Phased Manner
•Data Refinement in source systems
•Detailed Documentation
9. IMA – Challenges we faced
•Source data from Multiple systems
•Lack of granularity in data as required for IMA
•Lack of quality market data
•Bank portfolio based Stress VaR
•Lack of daily credit spreads for Specific VaR