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FRM Part II · FRM Exam Part II · Risk Reporting

During a stress event, a G-SIB's chief risk officer asks for an ad hoc report on exposures to a specific counterparty group, but the bank can only produce it after several days of manual consolidation across legacy systems. Which BCBS 239 aggregation capability is most clearly deficient?

The deficient capability is generating aggregate risk data for on-demand, ad hoc requests. BCBS 239 expects banks, especially during stress, to quickly produce exposure information across the group. Needing days of manual consolidation across legacy systems shows insufficient flexibility in risk data aggregation.

  1. AAbility to generate aggregate risk data to meet a broad range of on-demand, ad hoc requestsCorrect
  2. BReliance on a single risk metric to describe all exposures
  3. CUse of a data taxonomy that is consistent across the group
  4. DFrequent review of the board's risk appetite statement

Explanation

BCBS 239 requires banks to generate aggregate risk data to meet ad hoc requests, particularly in stress or crisis. Days of manual consolidation shows weak flexibility. A consistent taxonomy helps but is not what the scenario shows failing, and using a single metric is itself discouraged.

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