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

Which element should, under BCBS 239, a bank's risk reports cover to satisfy the comprehensiveness principle?

Reports should cover all material risk areas of the organization, including emerging risks, and provide forward-looking assessments such as stress-test and scenario results. Limiting reports to capital-covered risks, to credit and market risk only, or to the largest exposures would omit material risks and breach comprehensiveness.

  1. AOnly risks that are already captured in regulatory capital calculations
  2. BAll material risk areas within the organization, including emerging risks, with appropriate forward-looking assessments and stress-test resultsCorrect
  3. COnly credit and market risk, as operational risk cannot be reported reliably
  4. DOnly exposures above the largest single-name limit

Explanation

Comprehensiveness requires reports to cover all material risk areas, including risk positions and emerging risks, and to include forward-looking information such as stress tests and scenarios. Restricting coverage to capital-based risks, two risk types or only the largest exposures leaves material risks unreported.

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