A New Era of Market Risk: Unravelling the Complexities of Basel 3.1 – S2E9

A New Era of Market Risk: Unravelling the Complexities of Basel 3.1 – S2E9

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Hosted By Jawad Akhtar

Episode show notes

Welcome to FinTalk by VERMEG, the leading podcast in Financial Services that addresses the most pressing topics in the Regulatory Reporting industry.

In this episode, our host Jawad Akhtar is joined by renowned industry expert Enrico Messori, Director of Deloitte UK. Together, they delve deep into Basel 3.1, its implications for market risk, and the challenges of data and technology in the financial services sector.

This episode of FinTalk by VERMEG covers:

  • The significance and changes in Basel 3.1, especially in market risk.
  • The intricacies of the C.V.A. Framework and its expanded scope.
  • The minimal changes in SA-CCR due to the C.V.A. framework alterations.
  • The surge in reference data needs, the role of third-party providers, and the importance of data quality in regulatory reporting.

Episode highlights

“From what I’m seeing from the initial results that some of the firms are seeing from their implementation, there is an increase in capital that’s part of the objective of the regulator, frankly speaking. But again, the extent of this increase is partly correlated to the quality of the implementation and the ability of firms to source the right reference data. What we are seeing in general through the Basel 3.1 framework is the need for a lot more reference data at the lot more granular level than ever before. Certainly that what is the case today for firms. So one of the challenges from an implementation perspective for firms is sourcing this data.”

– Enrico Messori (12:06)


“Yeah. Yes. It’s a data and technology issue. On the data point specifically, as you mentioned, there’s a significant increase in the volume of reference data, for example, and counterparty information that is required at a very granular level. What we are seeing is there is still certain uncertainty between the various regions because of course the US haven’t published their final rules. This is expected in short order, but certainly what we see is Europe and UK are one step ahead in terms of finalizing their rules. There is still some differences in terms of how the calculations consume data. And so what firms, some firms are trying to do is to leverage some third party providers to gain some sort of consistency between different regions for the same exposure. So we are seeing certainly some efforts in that direction. But within firms there is anyway, a renewed focus on sorting the data, sorting the quality of data that as you say has always been the achilles heel of many firms.”

– Enrico Messori (14:49)


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