Market Risk -
Implementation of IMA approach
Krishan Bhandari,
Head - Risk Management
IndusInd Bank
Risk Management - Coverage
Can we cover this?
Do we have a boundary?
Market Risk – Whom do we talk to?
Market Risk?
Market Risk Management
Risk Management
Market Risk – Measure and Save yourself
• Measure:
• Value at Risk (IMA)
• Look Back - assess
• Stress yourself
• Measure ...
Market Risk –
Internal Measurement Approach (IMA)
IMA – How did we do?
•Risk Centric / Sensitive Management
•Choose a robust / scalable system
•Detailed Scope of Work
•Educ...
IMA – Challenges we faced
•Source data from Multiple systems
•Lack of granularity in data as required for IMA
•Lack of qua...
Thank you!!!
Krishan Bhandari,
Head - Risk Management
IndusInd Bank,
Mumbai
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Market Risk - Implementation of IMA approach

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Mr. Krishan Bhandari, Head - Risk Management at IndusInd Bank presented this at the Risk & Fraud Management Track at SAS Forum India 2014. The presentation talks about Internal Measurement Approach (IMA) in risk management, its challenges, benefits and real life examples.

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Market Risk - Implementation of IMA approach

  1. 1. Market Risk - Implementation of IMA approach Krishan Bhandari, Head - Risk Management IndusInd Bank
  2. 2. Risk Management - Coverage Can we cover this? Do we have a boundary?
  3. 3. Market Risk – Whom do we talk to?
  4. 4. Market Risk?
  5. 5. Market Risk Management Risk Management
  6. 6. Market Risk – Measure and Save yourself • Measure: • Value at Risk (IMA) • Look Back - assess • Stress yourself • Measure the Tail  Save yourself − Improve the Governance − Expect the unexpected − Price the Risk − Provide Capital
  7. 7. Market Risk – Internal Measurement Approach (IMA)
  8. 8. IMA – How did we do? •Risk Centric / Sensitive Management •Choose a robust / scalable system •Detailed Scope of Work •Educate and sensitize others departments •Reinforce the current practices •Introduce the latest practices •Move towards best in the breed practices •Have quality Market data •Implementation in Phased Manner •Data Refinement in source systems •Detailed Documentation
  9. 9. IMA – Challenges we faced •Source data from Multiple systems •Lack of granularity in data as required for IMA •Lack of quality market data •Bank portfolio based Stress VaR •Lack of daily credit spreads for Specific VaR
  10. 10. Thank you!!! Krishan Bhandari, Head - Risk Management IndusInd Bank, Mumbai

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