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

During a market stress event, a bank's risk function needs to produce an exposure report by counterparty group, a cut it does not usually produce, within a day. Which data aggregation capability under BCBS 239 does this test most directly?

Adaptability is being tested. It requires a bank to produce aggregated risk data flexibly for ad hoc, on-demand requests, including during stress or crisis, and in new cuts such as by counterparty group, rather than only in routine predefined report formats.

  1. AData architecture and IT infrastructure under normal conditions only
  2. BCompleteness of legal entity coverage
  3. CAdaptabilityCorrect
  4. DAccuracy of the accounting reconciliation

Explanation

Adaptability is the capability to generate aggregate risk data to meet a broad range of on-demand, ad hoc requests, including during stress and for new cuts such as by counterparty group. Completeness concerns coverage and accuracy concerns reliability, though both matter.

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