Market VaR Calibration
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).
- 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.
- 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.
- 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