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