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Business Risk Management

Is the existing limit framework sufficient?

What is the business rationale for the product (client, hedges, etc.)?

Reevaluate the project.

No

No rationale

No

Do we have the risk appetite for it?

Market Data

Yes

Yes

Are there two years of historical data available?

Are there any default proxies set up?

No

No

Work on proxy analysis.

No

What is the data source?

Yes

What is the data lineage?

Are there parameters for the risk factor?

Market Risk

Credit Risk

Are there 5 years of historical data for calibration?

???

Yes

Work on proxy analysis.

???

No

Yes

Valuation Models and Implementation

Is there a model for the product?

Prepare submission (E23) and communicate timelines

No

Has it been vetted?

Is the piping ready?

Yes

Consider the effort and timelines needed to implement.

Yes

No

???

Yes

Is it appropriate for G1D?

No

Is the configuration in place?

Timeline and effort to configure; functional testing

Yes

No

Needs to go to GT

No

Is the feed complete with all the attributes needed for the product?

Consider the effort and timelines needed to implement.

No

???

Yes

What are the model conditions (if any)?

What are the controls?

Risk Measurement Models and Implementation

Will risk flow appropriately? Measures? Desk level?

What are the efforts and timelines needed to implement?

No

What is the issue?

Are risk measures properly calculated?

???

???

No

Yes

Are any risk factors not taken into account by the risk model? Does there need to be an RNIV proposal?

Yes

What sensitivities are needed?

Is the mapping in place?

What is the risk misstatement?

Are any restrictions needed?

Some rationale