Social Networks

We use cookies to enhance your experience. By continuing to visit this site you agree to our use of cookies. Learn More

Got it!
BCBS 2.5 Comprehensive Risk Measure




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


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.


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.