Objective

To provide deep-dive analysis into intraday market risk generated from all business units for a global bank, with the goal of answering questions such as: Is intraday risk management useful for the particular cluster? Which risk metrics show significant movement? What is the frequency of movement?

CRISIL's Solution

• Deep dive conducted at security/book level for each business unit to find the risk attribution due to various factors
  
• Model accounts for correlation to market movement and impact of multiple risk metrics
  

Client Impact

• Intraday risk reports highlighting various risk metrics, risk velocity and intraday limit breeches are accessible through easy-to-use risk dashboard
  
• Results assist bank in evaluating the impact of future regulations relating to intraday risk (Basel 3/Dodd Frank)
  

Questions

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