Enterprise Risk Management at ABN AMRO

Details

Themes: -
Period : 2003
Organization : ABN AMRO
Pub Date : 2003
Countries : Global
Industry : Banking

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Case Code : ERMT-023
Case Length : 19 Pages
Price: Rs. 300;

Tools

Risk Governance Contd...

The credit risk organizations of C&CC and PC&AM had a local focus and were overseen by GRM. The WCS risk function had been integrated into GRM. Market risk and operational risk were separate risk functions within GRM. Country risk officers were part of GRM and provided local oversight.
The main responsibilities of C&CC, PC&AM and GRM were:

• Overseeing all credit, market and regulatory matters and ensuring compliance with local laws
• Approving risk transactions within delegated limits or advising on credits, which exceeded such authority
• Implementing review and control policies on all risk portfolios
• Establishing and maintaining operational risk control discipline
• Ensuring compliance with the bank's Values and Business Principles.

Basel Framework and Status

In January 2001, the Basel Committee on Banking Supervision (BCBS) published its second Consultative Document reviewing the Basel Accord of 1988. The European Commission also published a new draft Directive. In 2002, the BCBS delayed publication of the New Capital Accord to the end of 2003, simultaneously delaying its implementation until 2006. The BCBS launched its third Quantitative Impact Survey (QIS3) in October 2002, which incorporated potential changes to the second Consultative Document, in line with some industry recommendations. The BCBS was expected to finalize the Accord partly on the basis of the results of QIS3. ABN AMRO participated in the survey as part of its close involvement in the consultations on the New Capital Accord.

ABN AMRO supported the increased risk-sensitive nature of the proposed New Capital Accord. The resulting regulatory framework was much more detailed and complex. ABN Amro believed there was a need for balance between the appropriate risk sensitivity, a level international playing field and the regulatory burden. The bank had set up a project group to work on the implementation of the coming capital adequacy regulations on an Internal Rating Based basis for credit risk and Advanced Measurement Approach for operational risk.

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