Risk Management

The Risk Management section, which is part of the Banks division, is responsible for authorisation and ongoing checks on licensing requirements in relation to institution-specific procedures for the calculation of capital requirements for credit, market and operational risk, and for the calculation of liquidity requirements under regulatory rules. In addition to supervising risk models, the section assesses quantitative methods and procedures (stress tests, liquidity models, risk aggregation, economic capital) as part of the bank supervisory review process under pillar 2 of Basel II. This analysis combines with and expands on the detailed study conducted by the group of experts handling capital markets. The section is also heavily involved in national and international regulatory projects in respect of the above risk areas.

The management of the Risk Management Section is responsible for the technical, human resources and organisational management of the organisational unit. The technical side addressed by the management of this section consists mainly of risk management-oriented regulatory projects (leverage ratio/additional capital requirements; liquidity regulation for large banks). The regulatory projects are coordinated closely with the internal supervisory teams and externally with the appropriate organisational units of the banks. The section also periodically holds internal training sessions on the various risk areas.

One of the core activities of the Market and Credit Risks group is the approval and follow-up control (i.e. ongoing checks that the conditions of approval are met and assessment of applications for changes submitted by the banks) of internal risk models in relation to credit risk (IRB and EPE models) and market risk (VaR models). The institutions covered include all banks that wish to have an internal model approved. In the case of technical questions on standard approaches, the group's work relates to the entire banking universe. The group collaborates closely with other groups in the ongoing assessment of risk at the supervised institutions. This work relates either to identified "hot spots" and/or to the risk reporting framework as a whole. The group's scope of responsibility also includes the development and provision of key performance indicators for risk assessment, and it assists rating agencies with quantitative and methodological support.

The Aggregate Risks and Scenario Analysis group focuses on the implementation of pillar 2 instruments, namely: the bottom-up supervisory process on quantitative tools for the Internal Capital Adequacy Assessment Process (ICAAP) of banks (economic capital, stress testing, exposure measurement); the building block stress analysis performed in conjunction with the SNB (linked to macro-analysis), and ongoing risk monitoring, whereby the group makes a decisive contribution to the identification of areas of risk as part of ongoing supervision (e.g. performing estimates of loss potential). In relation to operational risk, the group manages institution-specific approaches to determine capital adequacy requirements for operational risk (AMA models) as defined in the circulars. The main focus in terms of content is on the approval of scenarios. The group is also responsible for institution-specific model management with regard to liquidity risk and its ongoing appraisal.

The Capital Markets group concentrates on the supervision and analysis of the activities of supervised entities on the capital market, market monitoring, analyses and reviews including benchmarking, reporting, strategic initiatives, and special mandates (investment banking activities of supervised entities).