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FRM Part I · FRM Exam Part I · Principles for Effective Data Aggregation and Risk Reporting

A bank's supervisor plans a review of risk data aggregation and reporting. Which combination of tools is most consistent with BCBS 239's description of how supervisors can assess compliance?

Supervisors should combine onsite and offsite reviews and thematic reviews, and should test whether the bank can produce risk data quickly for ad hoc or stress requests. Relying on self-assessment, financial statement audits or published ratios alone would not test aggregation capability.

  1. AOnly annual self-assessments submitted by the bank
  2. BOnsite reviews, offsite reviews, and use of thematic reviews, with supervisors also testing the bank's ability to produce data under stress or on ad hoc requestsCorrect
  3. COnly external audit opinions on the bank's financial statements
  4. DOnly comparing the bank's published ratios with peers

Explanation

The principles recommend supervisors use a range of tools: onsite and offsite reviews, thematic reviews of multiple banks, and requests for data on ad hoc or stress scenarios to test the bank's ability to aggregate quickly. Self-assessment alone, financial statement audits or ratio comparison do not test aggregation capability.

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