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BCBS 2.5 Comprehensive Risk Measure

Leading

Market

Expertise

Arguably one of the most quantitatively demanding requirements from BIS.

CRM (Comprehensive Risk Measure) required a 99.9% tail risk to be calculated on complex structured assets. It was an immense challenge for the affected trading desks, as well as for the local regulator teams.

Industry: Investment Banking

Challenges

Addressing the Regulatory Demands

The regulator’s CRM requirement had to be interpreted, fulfilled and a solution implemented in a practical manner.

Complex Requirements

A directly relevant skill set was required as the underlying assets were complex, as was the CRM methodology.

Data Solution

Developing and Implementing the Solution

We supported the development and determination of the methodology for the 99.9% simulation of correlation credit instruments.

We carried out analysis and review of historical market data, including cleaning routines, for simulations.

We developed a testing framework and suitable test portfolio that fairly represented the client’s portfolio risk.

Analysis & Reporting

Analysis of output of market evolution programs to ensure validity of results and market realism.

We carried out an assessment of the drivers of the calculated CRM figure.

We supported the design and production of the reporting requirements for CRM including diagnostics and CRM-explain reports.

Benefits

This Investment Bank successfully delivered the CRM solution and obtained regulatory approval for the approach.

Lead by Data Experts

Our market expertise was integral to the successful delivery of the project.

Related Data Solutions

Calimere Point have helped our clients gain value from the data revolution.
Our Data Services

Peter Griffiths

Co-Founder & CEO
Peter is the co-founder and CEO of Calimere Point and has been with the firm since its inception in 2009. Prior to founding Calimere Point he spent the first 15 years of his career in Investment Banking, working within trading, structuring and risk management disciplines across a number of asset classes. Peter has a Masters in Finance from London Business School, a BSc in Economics and Finance from Oxford Brookes University and is a qualified accountant (CIMA qualification).

Dominique Nelson-Esch

Chief Marketing Officer

Dominique is a multi-disciplinary visual designer, communications and brand strategist, with a two-decade journey in collaborating with startups and SMEs. Her portfolio includes consulting for over 100 businesses globally, where she managed branding, design, and digital communications.

Dominique’s extensive background in financial services equips her with a nuanced understanding of our industry landscape, including 14 years in financial services, holding key roles such as Head of Portfolio Risk Audit and Niche Portfolio Management for major Insurers.

In her current role as Chief Marketing Officer (CMO) at Calimere Point, Dominique focuses on strategically positioning and promoting the firm. Her goal is to enhance brand awareness and establish market leadership through innovative marketing strategies that highlight Calimere Point’s expertise in delivering impactful data-driven solutions.