Survey instruments
Post-crisis stocktake of developments in credit risk management across
sectors – supervisory questionnaire
The purpose of this mandate is to update previously published Joint Forum work on risk management practices.15 It is focused on changes to credit risk management practices in the banking, securities and
insurance sectors, with particular consideration given to cross-sectoral items. Credit risk is the risk that a counterparty will fail to perform fully its financial obligations, and can arise from multiple activities across sectors. For example, credit risk could arise from the risk of default on a loan or bond obligation, or it could arise from the risk of a guarantor/credit enhancement provider or derivative counterparty failing to meet its obligations.
1. From your observations, which products are posing particular challenges to credit risk management at:
a. Financial conglomerates b. Banking firms
c. Securities firms d. Insurance firms
2. Since the publication of the 2006 Joint Forum paper, have you observed firms using new risk transfer tools?
3. Since the publication of the 2006 Joint Forum paper, have any new products emerged that pose particular challenges to credit risk management at:
a. Financial conglomerates b. Banking firms
c. Securities firms d. Insurance firms
4. Since the publication of the 2006 Joint Forum paper, what have been the most significant market
developments impacting credit risk management at:
a. Financial conglomerates b. Banking firms
15 Joint Forum, Risk management practices and regulatory capital, www.bis.org/publ/joint04.pdf, 2001, and Regulatory and
c. Securities firms d. Insurance firms
5. Since 2006, what are the most significant regulatory and statutory changes impacting credit risk management at:
a. Financial conglomerates b. Banking firms
c. Securities firms d. Insurance firms
6. The following table seeks to understand the impact of market developments and regulatory and statutory changes on firm practices in credit risk management. The table also seeks to understand your level of concern regarding the particular area. Please add additional areas corresponding to your answers to questions 4 and 5.
Area Market
development statutory change Regulatory and Any observed changes in firm practices
Level of concern (low, medium, high) Central clearing
Use of credit rating agency (CRA) ratings or downgrades by CRAs
Major country risk (eg euro zone, US, Japan)
Use of models for risk aggregation
Bankruptcy of counterparties Margin / collateral
requirements
Please insert any other relevant areas from your point of view.
7. For areas that are rated with a high level of concern in question 6, please provide any additional detail regarding the aspects of the issue that lead to that level of concern.
8. Please explain how you communicate with other organisations involved with the supervision of your firms to exchange views and concerns (eg information-sharing) and any coordination of supervisory actions (eg joint examinations) with respect to credit risk management
a. within your jurisdiction b. internationally
9. How has your process of supervisory oversight of your firms changed since 2006 with respect to credit risk management in the following sectors?
a. Financial conglomerates b. Banking firms
10. What changes have you observed since 2006 in terms of collateral risk, eg availability and quality of collateral as more funding has been moving to a secure basis?
Post-crisis stocktake of developments in credit risk management across
sectors – firm questionnaire
The purpose of this mandate is to update previously published Joint Forum work from 2001 and 2006 on risk management practices.16 It is focused on changes to credit risk management practices in the
banking, securities and insurance sectors, with particular consideration given to cross-sectoral items. Credit risk is the risk that a counterparty will fail to perform fully its financial obligations, and can arise from multiple activities across sectors. For example, credit risk could arise from the risk of default on a loan or bond obligation, or it could arise from the risk of a guarantor/credit enhancement provider or derivative counterparty failing to meet its obligations.
1. Name of firm
2. Please mark an “X” in the appropriate boxes below:
Banking Securities Insurance
Primary sector(s) in which your firm operates
Secondary sector(s) in which your firm operates
Please advise on your total assets by relevant sector, in your native currency as of year-end 2012
3. Which products are most significant to credit risk management within each sector selected for question 1 and why? If your firm operates in multiple sectors, please also highlight any challenges specific to being a financial conglomerate.
4. Since 2006, what, if any, new risk mitigation tools, strategies or other credit risk management
methodologies have you observed or used?
5. Since 2006, what, if any, new products are most significant to credit risk management for the sectors in which you operate?
6. Since 2006, what have been the most significant market developments impacting credit risk management for the sectors in which you operate?
7. Since 2006, what are the most significant regulatory and statutory changes impacting credit risk management for the sectors in which you operate? How have these changes impacted your firm at the (i) legal entity level and (ii) group level?
16 Joint Forum, Risk management practices and regulatory capital, www.bis.org/publ/joint04.pdf, 2001, and Regulatory and
8. The following table seeks to understand the impact of market developments and regulatory and statutory changes on firm practices in credit risk management since 2006. The table also seeks to understand your level of concern regarding the particular area. Please add additional areas corresponding to your answers to questions 5 and 6. Please add a narrative response for all boxes except “Level of concern”, for which you may answer “low,” “medium” or “high.”
Area Market development Regulatory and
statutory change Any changes in firm practices Level of concern (low, medium, high) Central clearing
Use of credit rating agency (CRA) ratings or
downgrades by CRAs Major country risk (eg euro zone, US, Japan) Use of models for credit risk
Bankruptcy of counterparties Margin / collateral requirements
Please insert any other relevant areas from your point of view.
9. For areas that are rated with a high level of concern in question 7, please provide any additional detail regarding the aspects of the issue that lead to that level of concern.
10. Please explain material changes since 2006 to key operations, risk management, internal controls and governance frameworks within your firm related to credit risk management.
11. Please explain material changes since 2006 related to your firm’s use of models to aggregate credit risk within your firm. In particular, please describe changes to your firm’s methodology for aggregating credit risk arising from different sectors.
12. Please explain the scope, process and intensity of your communication with your regulatory supervisors with respect to credit risk management at:
a. the legal entity level b. the group level
13. What, if any, changes have you observed since 2006 in terms of collateral risk, eg availability and quality of collateral as more funding has been moving to a secure basis?
Annex 3
List of members of the Joint Forum Working Group on Risk Assessment
and Capital (JFRAC) and the Credit Risk Management workstream
Chair Philipp Sudeck Bundesanstalt für Finanzdienstleistingsaufsicht
France Arnaud Sandrin
Vincent Jaouen
Autorité de Contrôle Prudentiel et de Résolution Autorité de Contrôle Prudentiel et de Résolution
Germany Raoul Jacobs
Steffen Meusel
Bundesanstalt für Finanzdienstleistingsaufsicht Bundesanstalt für Finanzdienstleistingsaufsicht
Japan Jutaro Kaneko
Arfiya Eri Takashi Hamano Hidetaka Tabata
Bank of Japan Bank of Japan
Financial Services Agency Financial Services Agency
Korea Jae-Ryong Jeong Financial Supervisory Service
Spain Marta Estavillo
Jose Manuel Portero
Bank of Spain
Comisión Nacional de Mercado de Valores United Kingdom Peter Norwood Financial Conduct Authority
United States Holly Kirkpatrick Robert Esson George Lavdas Michelle Danis (*) Lubit Cara
Board of Governors of the Federal Reserve System National Association of Insurance Commissioners Securities and Exchange Commission
Securities and Exchange Commission Securities and Exchange Commission
EU Rebecca Wood European Commission
IAIS Lance Leatherbarrow International Association of Insurance Supervisors
IOSCO Alp Eroglu International Organization of Securities Commissions
Secretariat Motohiro Hatanaka Basel Committee/Joint Forum Secretariat (*) Chair of the Credit Risk Management workstream