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Financial reporting (B/S) (PVA (Representation @ BASA, Integration of the…
Financial reporting (B/S)
PVA
Representation @ BASA
Integration of the rest of the group including subs
project finalisation
Key risks at a value basis
Model validation ( XH& Geneva)
Options Vols
Trades outside RiskWatch (Compatible), mid to bid, IPV, PVA
A more comprehensive recon is required
Valuations is more tied to risk than Fiance
There is no recon back to finance, effectively giving sign of the appropriateness of valuation
Source of data is per risk (Mkt)
Therefore risk limitations become Valuations limitation
Risks -
Valuations
Policies, Framework, procedures
Input parametre prudence
Market liquidity across maturity buckets & Markets
Specific markets traded
Maturity buckets
Granular level instruments
Model appropriateness
Excel based
by source system
Existence
Completeness