02 — Capability · BC-1780
Prudential Risk & Regulatory Reporting
Show the firm and its supervisors that a bank or insurer holds enough capital and liquidity for the risks it carries, by measuring credit, market, liquidity and balance sheet risk, stress testing capital, governing the models behind those numbers and filing accurate prudential returns. The enterprise risk framework and corporate treasury hedging sit in the cross-industry capabilities.
- Prudential Risk
- Financial Risk & Capital
- Risk & Regulatory Finance
- Basel and Solvency Reporting
In scope
- Portfolio-level credit, market and liquidity risk measurement
- Capital adequacy, internal capital assessment and stress testing
- Asset-liability management and interest rate risk in the banking book
- Model risk governance and prudential regulatory returns and disclosures
Out of scope
- Enterprise risk framework, appetite and risk registers (see BC-130)
- Corporate treasury hedging of the enterprise's own exposures (see BC-230.30)
- Regulator relationships and non-prudential regulatory reporting (see BC-140.50)
- Credit decisions on individual loans (see BC-1720.20)
Realized by · 0
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Used in · 1
- Alert-to-Disposition · 06 Tune Controls via BC-1780.50
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Decomposes into · 6
- BC-1780.10Credit Risk MeasurementKnow how much the firm could lose on its loans, bonds and counterparties across the whole portfolio, so limits, provisions and capital rest on sound estimates. Approving or declining a single loan sits in lending.
- BC-1780.20Market & Liquidity RiskKnow what the firm could lose from moves in market prices and whether it can meet its obligations under stress, and keep both within set limits. Trading itself is outside this lens, but measuring its risk is in scope; executing funding and cash positioning sits in Treasury.
- BC-1780.30Capital Adequacy & Stress TestingHold enough capital, in the right forms, for the risks the firm carries today and in plausible severe futures, and prove it to the board and supervisors, with a plan for recovery or orderly resolution if it fails. Executing debt and equity issuance sits in Treasury.
- BC-1780.40Asset-Liability ManagementKeep the balance sheet's assets and liabilities matched in timing, rate and currency so earnings and economic value survive rate moves, and price funding fairly inside the firm. Executing hedges and funding sits in Treasury.
- BC-1780.50Model Risk ManagementKnow which models drive risk, pricing, capital and financial reporting decisions, prove each one fit for purpose before and during use, and limit the harm a wrong model could do, including AI models in regulated use. AI policy sits in AI Strategy & Governance, and building and running machine learning models in AI & Automation.
- BC-1780.60Prudential Regulatory ReportingFile complete, accurate and on-time prudential returns and public disclosures from controlled, traceable data, and answer supervisors' ad hoc requests. General regulatory obligations and the relationship with regulators sit in Compliance.