Regional workshop BCCL-METAC
Joint risk assessment of cross border banking groups
BEYROUTH, April 25th, 2012
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
INTRODUCTION
• Risk assessment is a basic work of supervisory colleges: But how to do it ?
• Where are we in the European Union ? • Guidelines have been recently published by the
European Banking Authority; • Very comprehensive ; • Package in course of implementation in EU; • For third countries : good starting point to elaborate a
project on risk assessment ?
• Basel II: a prerequisite?
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
PRUDENTIAL FRAMEWORK: BASEL II AND BASEL III
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
– Pillar 1: Quantitative assessment of capital and liquidity.
– Pillar 2: Supervisory Review and Evaluation Process (SREP) and Internal control system and Internal Capital Adequacy Assessment Process (ICAAP).
– Pillar 3: Detailed public disclosure on risks and capital
adequacy.
BASEL II AND III: STILL THREE PILLARS
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
Source : Moody’s Analytics
BASEL II AND III : STILL THREE PILLARS Pillar I Ratios
Capital Ratios
Capital
Tier 1 Tier 2
RWA
Credit
Standard
IRB F
IRB A
CCR Derivative Exposure
CEM
EPE
CVA
WWR
Market
Standard
IMA
VAR
Stressed VAR
IRC
Operational
BIA
Standard
AMA
Liquidity Ratios
LCR NSFR
Leverage Ratios
Pillar II Supervisory
Review Process
Pillar III Market
Discipline (reporting)
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
Internal control system and Internal Capital Adequacy
Assessment Process (ICAAP)
Capital requirements (Pillar 1)
Allocation of Capital
Dialogue
Examinations
Conclusions
Additional capital requirements
Satisfactory Unsatisfactory
Corrective actions
Supervisory Authority
Review and evaluation of internal mechanisms, adequacy
of risks, compliance with minimum requirements … via
the Risk Assessment System (RAS)
Supervisory Review and Evaluation Process
(SREP)
Calculation of Pillar 1 requirements
Identification, measurement, monitoring and management of all
material risks
Evaluation of internal capital commensurate with risk profile
Institutions
PILLAR 2
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
Credit riskOperational risk
Market risk
Interest rate riskin the banking book
Liquidity risk Quality of internal control and internal audit,
Professionnalism in thedifferent fields of activities
Concentration risk (single, sector and geo.)
Strategic and reputational risks
Other risks
Pillar 1
Pillar 2
A comprehensive assessment of risks PILLAR 2
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
FROM A NATIONAL RISK ASSESSMENT PROCESS
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
• Necessity of a National assessment process
– In Europe based on Directive 2006/48/CE, especially Annex XI (“Technical criteria on review and evaluation by the competent authorities”)
=> so risk assessment already existed in the European Union but there were not harmonized.
– Elaborated at the French level: The ORAP 2 methodology:
- ACP’s risk assessment system (cf. Commission Bancaire Annual Report 2007: “The risk assessment system used by the General Secretariat of Commission bancaire”),
- Encompasses the Directive’s criteria (cf. Annex 1: mapping of Annex XI criteria with ORAP 2 criteria).
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
• Overall assessment process (illustrative adaptation):
Overall assessment on a 1 to 4 scale
Overal organisation of the insitution, Internal control framework, Risk monitoring, management and control framework
or and/or No Pillar 2 measure seems necessary
Analysis of quantitative data related to (1-4)
Pillar 2 measures, other than capital add-on,
seem necessary
Analysis of qualitative data related to (1-3)
Activity Credit risk Concentration risk Market risk Operational risk Liquidity risk
+ Interest rate risk Internal control Corporate governance Results and profitability Own funds
Capital add-on requirement seems
necessary
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
• Example of indicators analysis in the assessment process
Institution XXXXXX
indi
cato
r va
lue
rank
of t
he
inst
itutio
n
Qua
rtile
num
ber
of
obse
rvat
ions
high
est v
alue
low
est v
alue
med
ian
valu
e
Average annual variation of the own funds requirements (credit and market) between 2004 and 2007
10,0% 2 1st 24 15,0% -5,0% 7,0%
Weight of CIB in the NBI - Weight of retail in the NBI - 3 years average (2005/2007)
-25,0% 8 2nd 24 70,0% -100,0% -40,0%
Weight of investment banking in the CIB NBI in 2007 60,0% 3 1st 24 70,0% 5,0% 20,0%
Weight of corporate credit - Weight of retail credit (2007) -50,0% 20 4th 24 40,0% -70,0% 1,0%
Weight of credit/risks on foreign counterparties 2007 20,0% 12 2nd 24 50,0% 0,0% 30,0%
Act
ivity
indi
cato
rs
Weakness due to specific elements
Indicator to be relativised
Confirmed weakness Indicator mitigating the risk profile Indicator without consequence for Pillar 2 or not material for the institution
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
• Development of risk management check lists
• Consist in a check list of the main points that have to be analysed and aim at facilitating the qualification of the risk management framework, helped by a hierarchy made between questions :
- Level 1 priority indicator : questions where a « no » answer presume issues with the risk management
- Level 2 priority indicator : questions where a « no » answer presume difficulties that need corrective actions without anyway making concerns about the global efficiency of the risk management framework
- Level 3 priority indicator : questions where a « no » answer presume a risk management framework which is not that perfect
• According to the number of no and the number of level priority of indicator for each criteria, the assessment could be:
- Unsatisfactory
- To be enhanced
- Satisfactory
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
ILLUSTRATION OF A MATRIX TO COMBINE SCORES
Rating matrix
Risk management
Unsatisfactory To be enhanced Satisfactory
Risk profile
Very low risk 2 1 1
Low risk3 2 1or important financial
room for manoeuvre
Medium risk4 3 2Or limited financial room
for manoeuvre
High risk of breach in the prudential
regulation 4 4 3or no financial room for
manoeuvre
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
• Capital requirement methodology (illustrative)
a) The institution is ranked on a 4 grade scale of risk;
b) For each grade, a range of ratio is set up: – For parent companies ranges are set up by comparison
with ratios communicated to the market by institutions (National and foreign) with the idea that they ensure a proper coverage of their risks
– For subsidiaries of these groups ranges are set up: Taking into account their belonging to a major national
banking group By reference, for the most material of them, to the
objectives that they fixed themselves in term of T1 ratio
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
• Capital requirement methodology (illustrative) c) Taking into account the risk profile and the current and potential
situation of the institution:
Risk level Ranges of tier 1 ratio
Parent companies Subsidiaries
1 lowest [7,50 % - 8,00 % [ [4,00 % - 6,00 % [ 2 [8,00 % - 8,50 % [ [6,00 % - 7,00 % [ 3 [8,50 % - 9,00 % [ [7,00 % - 8,00 % [ 4 highest [9,00 % - beyond [ [8,00 % - beyond [
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
JOINT RISK ASSESSMENT OF CROSS BORDER BANKING GROUPS
METHODOLOGY
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
Joint Risk Assessment and Decision (JRAD)
• New task for European college in 2011: joint decision on Pillar 2
– The College has to agree on a common evaluation of
the Group, its strategy, its risk profile, with a view to a joint decision on Pillar 2
– “Guidelines for the joint assessment of the elements covered by the supervisory review and evaluation process (SREP) and the joint decision regarding the capital adequacy of cross-border groups (GL39), EBA, December 2010”
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
Joint Risk Assessment and Decision (JRAD)
– Development of new working methods and standardization of the nature and content of the information exchanged on the risk profile:
a common template for reporting on the risk profile
of all entities stemming from the JRAD EBA Guidelines
an agreed sharing of roles taking into account the significance of every supervisor and the relevance of local entity(ies).
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
OVERVIEW OF THE PROCESS FOR THE JOINT RISK ASSESSMENT AND DECISION (JRAD) ON RISK-BASED CAPITAL ADEQUACY
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
THE JOINT ASSESSMENT OF RISKS FACTORS AND RISK MANAGEMENT FACTORS IN THE COLLEGE OF SUPERVISORS
(SREP)
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
TRANSLATION OF NATIONAL RISK ASSESSMENTS THROUGH COMMON TEMPLATES AND SCORING SCALES
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
TRANSLATION OF NATIONAL RISK ASSESSMENTS THROUGH COMMON TEMPLATES AND SCORING SCALES
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
SCORES FOR THE ASSESSMENT OF RISK FACTORS
Score Description
1 Low risk of significant impact on the prudential elements of the group or its entities.
2
Medium-Low risk of significant impact on the prudential elements of the group or its entities. Nonetheless, a change in the situation could relatively quickly have a significant impact, and thus the risks or weaknesses considered must be monitored.
3 Medium-High risk of significant impact on the prudential elements of the group or its entities. The entity’s risk control thus requires supervisory attention.
4 High risk of significant impact on the prudential elements of the group or its entities. The entity’s risk control thus requires heightened supervisory attention.
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
SCORES FOR THE ASSESSMENT OF RISK MANAGEMENT AND CONTROL
Scores Description
1 A high level of risk management and control. The risk management and control framework is clearly defined and fully compatible with the nature and complexity of the institution's activities.
2 An acceptable level of risk management and control. The risk management and control framework is adequately defined and sufficiently compatible with the nature and complexity of the institution's activities.
3
The risk management and control needs improvement. The risks are insufficiently mitigated and controlled, leaving too high a residual risk for the institution. The risk management and control framework is hardly defined or insufficiently compatible with the nature and complexity of the institution's activities.
4
The risk management needs drastic and/or immediate improvement. The risks are not or hardly mitigated and poorly controlled. The risk management and control framework is neither defined nor compatible with the nature and complexity of the institution's activities.
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
• To do: thanks to the matrix p12, please calculate the combined scores.
EXAMPLE: RISK ASSESSMENT AND COMBINED SCORE
Risk factors Score for Risk profile (1)
Score for risk management and control assessment (1)
Combined score Year N
Combined score Year N-1
Financial position 2 2
Own funds 1 2
Internal control framework NA 2 2
Business and strategic risk 1 1
Credit risk Medium High (3)
Satisfactory (1) 1
Market risk
Medium High (3)
To be enhanced (2) 3
Operational risk Medium Low (2)
To be enhanced (2) 2
Liquidity risk Medium High (3)
Satisfactory (1) 3
Concentration risk Low (1) Satisfactory (1) 1
Interest risk in the Banking book Medium high (3)
To be enhanced (2) 2
Overall score ? 1
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
EXAMPLE: RISK ASSESSMENT AND COMBINED SCORE BY A NATIONAL SUPERVISOR
Risk factors Score for Risk profile
Score for risk management and control assessment
Combined score Year N
Combined score Year N-1
Financial position 2 2
Own funds 1 2
Internal control framework NA 2 2
Business and strategic risk 1 1
Credit risk Medium High (3)
Satisfactory (1) 2 1
Market risk
Medium High (3)
To be enhanced (2) 3 3
Operational risk Medium Low (2)
To be enhanced (2) 2 2
Liquidity risk Medium High (3)
Satisfactory (1) 2 3
Concentration risk Low (1) Satisfactory (1) 1 1
Interest risk in the Banking book Medium high (3)
To be enhanced (2) 3 2
Overall score 2 1
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
SUMMARY TABLE OF THE JOINT ASSESSMENT OF RISK AND CONTROL FACTORS (Not always used)
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
SUMMARY TABLE OF THE JOINT ASSESSMENT OF RISK AND CONTROL FACTORS
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
JOINT ASSESSMENT OF THE ICAAP PROCESSES AND METHODOLOGIES FOR CROSS BORDER
GROUPS
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
COMMON TEMPLATE FOR TRANSLATING THE ICAAP PROCESS ASSESSMENT
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
COMMON SCORES FOR ASSESSMENT OF THE ACCURACY OF THE ICAAP METHODOLOGIES AND PROCESSES
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
SUMMARY TABLE OF THE ICAAP PROCESS ASSESSMENT
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
JOINT ASSESSMENT OF COMPLIANCE WITH THE VARIOUS MINIMUM REQUIREMENTS
SET OUT IN THE CRD
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
COMMON TEMPLATE TO REPORT ASSESSMENTS OF COMPLIANCE WITH THE CRD
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
SUMMARY TABLE ASSESSMENT OF COMPLIANCE WITH THE CRD REQUIREMENTS
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
DETERMINATION OF THE ADEQUATE LEVELS OF OWN FUNDS AT THE GROUP AND ENTITIES LEVELS
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
COMMON TEMPLATE TO REPORT THE PRELIMINARY INDIVIDUAL RESULTS OF THE RISK-BASE CAPITAL REQUIREMENTS
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
SUMMARY INFORMATION ON RISK-BASED CAPITAL ADEQUACY OF GROUP
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
JOINT RISK ASSESSMENTS CHALLENGES
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
• The main JRAD challenges: – Understanding each other for an efficient
coordination: essential elements/features of national SREPs, local legal and prudential constraints …
– Coordinating the results of different risk assessments: difficult aggregation exercise for Home in charge of using its expert judgment while reflecting each Host RAS
– Assessing the appropriate allocation of capital within a group
– Elaborating a forward looking analysis (time to coordinate then to reach agreement)
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
• The main JRAD challenges: – Conducting a “full” ie comprehensive RAS each year or
deciding on a specific road-map eg by focusing on different risks areas each year
– Usefully associating the group to the global RAS process
– Adapting working methods and planning: how preparing the common report all together and in due time?
– Speedy circulation of information (foster efficiency in exchanging respective RAS)
– Cooperation process between Home and Host authorities pursuant to Directive 2009/11/CE to reach a joint decision on: assessment on the risk profile of the group “Pillar 2” capital requirements
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
CONCLUSION
– Not relying on a too mechanistic approach
– Only the first stage currently in course of implementation in Europe
– Are all the stages necessary?
– Not forgetting the weight of each entity into the group
– A step by step and cautious approach could be recommended.
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
Annex 1: Mapping between directive 2006/48/CE
and ORAP 2 criteria
Directive 2006/48/CE criteria References ORAP 2 criteria Governance Article 22 Strategy and organisation
Credit risk Annex XI-1 Quality of credit portfolio Coverage of credit risk
Market risk Annex XI-1 Market risk Operational risk Annex XI-1 Operational risk
Credit risk stress scenarii Annex XI-1.a) Quality of credit portfolio
Concentration risk Annex XI-1.b) Concentration risk Residual risk associated with rhe use of recognized credit risk mitigation techniques
Annex XI-1.c) Coverage of credit risk
Level of own funds regarding the weight of its securitized assets Annex XI-1.d) Own funds
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
Annex 1: Mapping between directive 2006/48/CE and
ORAP 2 criteria
Directive 2006/48/CE criteria References ORAP 2 criteria Liquidity risk Annex XI-1.e) Liquidity risk Impact of diversification Annex XI-1.f) Own funds Results of stress tests for institutions using an internal modal to calculate market risk capital requirements
Annex XI-1.g) Market risk
Implicit support to a securitisation Annex XI-2. Quality of credit porfolio, own funds
Ability to sell or hedge positions within a short period without incurring material losses under normal market conditions
Annex XI-3 Market risks
Adequacy between own funds and risks Art. 123–p 1 Own funds
Internal control Art. 123–p 2 Organisation of internal control
Interest rate risk Article 124-5 Interest rate risk in the banking book
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
Annex 2: Indicators taken into account
Activity: Average annual variation of own funds requirements (2004/2007) Weight of CIB in NBI – Weight of retail in NBI, 3 years average Weight of investment banking NBI in CIB NBI Weight of exposure on corporate – weight of exposures on retail Weight of exposure on foreign counterparties Total staff Weight of staff abroad Total balance sheet “Staff / Total balance sheet” ratio
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
Annex 2: Indicators taken into account Results and profitability: Cost to income ratio (3 years average) Spread between 2007 and 2006 cost to income ratio, for the group
and each of its business lines % of NBI resulting from activities with hedge funds 2007 crisis impact of NBI
Credit risk: % of low quality assets (according to Banque de France rating) % of non investment grade assets in the corporate portfolio % of small or medium firm assets in the corporate portfolio Amount of missing provisions considering expected losses Study on the rigourisity of the internal rating system Impact on own funds requirement of a credit stress scenario
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
Liquidity and maturity mismatch: Lowest liquidity ratio in 2007 Exposure to credit institutions Difference between refinancing agreements granted and refinancing
agreements received “Short term assets (≤1 year) / short term liabilities (≤1 year)” ratio Amount of customer’s liabilities in the balance sheet Amount of securities’ liabilities in the balance sheet 1 year maturity mismatch 5 years maturity mismatch
Operational risk: Total balance sheet Net Banking Income Total amount of operational losses
Annex 2: Indicators taken into account
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
Internal control: Permanent control staff Periodic control staff Compliance staff
Market risks: Average amount of trading book Amount of financial assets at fair value through profit or loss Average value at risk ROE before tax on the investment banking activity
Coverage of credit risk : “Cost of risk / NBI” ratio calculated at the group and business lines
levels “Impaired assets / NBI” ratio
Annex 2: Indicators taken into account
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
Concentration risk: Total amount of large exposures / own funds ratio HHI data on concentration
Interest rate risk in the banking book: Impact on own funds of a 200 bp stress on interest rate
Strategy and organization: “Asset management assets / total balance sheet” ratio “NBI / asset management assets” ratio “Asset management assets / own funds” ratio Liquidity lines granted in securitization operations “Cost of acquisitions / total balance sheet” ratio “Cost of acquisitions during the last year / own funds” ratio
Annex 2: Indicators taken into account
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
Own funds: Amount of hybrid capital in tier 1 ROE on tier 1 capital Leverage ratio (tier 1 capital / total balance sheet) “Results / average RWA” ratio “Results / RWA annual variation” ratio “Goodwill / Core capital” ratio “Goodwill / operating profit” ratio “Core capital / Own funds requirement” ratio ICAAP
Annex 2: Indicators taken into account
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
Annex 3 : Development of risk management check lists
- Extract of a check list :
1.
The institution has determined limits based on the indicators used for measurement and monitoring of liquidity risk (article 33 of regulation n° 97-02)
Yes
Comments No
D/K
2. Limits level is regularly reviewed, at least once a year(article 33 of regulation n° 97-02)
Yes
Comments No
D/K
3. Limits are set up by the executive body and, if appropriate by the decision-making body (article 33 of regulation n° 97-02)
Yes
Comments No
D/K
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BANQUE DE FRANCE Joint risk assessment of cross border banking groups
JEAN-LUC QUEMARD – IBFI – April 25th, 2012
Annex 3 : Development of risk management check lists (continued)
Number of answers "No" to the questions… Quality of risk management
Level 1 Level 2 Satisfactory To be
enhanced Unsatisfactory None None Y N N
Moderate Y Y N High N Y N
Moderate None Y Y N Moderate N Y Y High N N Y
High None N N Y Moderate N N Y High N N Y