Calibration

Market VaR Calibration

Initial situation

The Calibration team is a Risk Systems team in charge of the regular review of the parameters used in the market and counterparty Risk calculation processes (MRX, ValRisk and Risk Navigator).

Tasks

  • Monthly market risk (VaR) calibration.
  • Quarterly review of the different Stressed periods used either for Stressed VaR or Stressed EEPE (impact assessment).
  • Quarterly counterparty risk (PFE) calibration.
  • Yearly counterparty norms calibration.

Actions

  • Perform the regular review and update of the statistical parameters used by the market and counterparty risk systems in order to reflect market evolutions.
  • Assess the impact of the parameters review on the business.
  • Extend the calibration process with new risk factors and risk methodology updates.
  • Fulfil all regulatory and economic requirements related to calibration.
  • Optimise process automation and flexibility.

Result

  • All asset classes time series calibrated on monthly basis for the market VaR
  • Counterparty EPEE time series quarterly calibrated (volatility term structures)
  • Regular production of reports to assess the Impact in term of VaR/capital by asset class/ market data of the new calibration