AXA IM - Cartographies des risques financiers, de non-conformité et opérationnels

AXA IM - Cartographies des risques

financiers, de non-conformité et opérationnels

Philippe d’Orgeval

Global Head of Risk Management

Plan



Univers des risques



Cartographie des risques au niveau de l’entreprise



De la cartographie des risques à la quantification des risques



Exemple de cartographie des risques opérationnels au niveau du fonds



Exemple de cartographie des risques d’investissement au niveau du fonds



Gouvernance

Market Appreciation Risk

Demand Risk

New Business Risk

Pension Risk

Foreign Exchange Risk

Interest Rate Risk

Own Investment Risk

Regulatory Risk

Legal Risk

Process/Execution Risk

System Risk

External Event Risk

Human Resources Risk

Modelling Risk

Investment Guidelines

Risk

Valuation Risk

Performance Risk

Market Risk

Credit Risk

Market Liquidity Risk

Business Risks

_{Operational Risks}

_{Investment Risks}

4 4

Consolidated

Heat Map

Definition of

AXA IM’s

annual

control plan

Validation of

Implementation

and monitoring of

the control plan

AXA IM’s annual

control plans

Production of entity

Level Risk Heat Map



Comprehensive assessment by local entity of

their risks level and criticality based on:



leveraging past year heat map and

quantification



the number of incidents and their financial

impact when relevant



forecasted impact of anticipated

regulatory changes



the outcome of the reviews performed



key points highlighted at the LCCs



Input from the business



Production of entity level Risk Heat Map and

proposal for reviews

Consolidation of the local heat maps to

produce an AXA IM Group Heat Map

Based on the produced Risk Heat Map:



definition of AXA IM’s control plan

with a focus on the most critical risks



allocation of the topics among the

different teams based on resources

skills/availability and set objectives

The Internal Audit team will take part in this

process but will have first selection of topics

so as to preserve their independence.

Discussion and validation of the plan by:



Business Heads



Global Risk management board



Internal Audit Committee

3

2



Implementation of the validated actions



Regular

review of the control plan’s

progress and results by Global Risk

management board and Audit Committee

4

Li

k

e

li

ho

od

Impact

1

Significant Minor Seroius Very Serious Extremely Serious Frequent M H VH B B Likely M H VH VH B Unlikely M M H VH VH Remote L M M H VH Not

Significant Minor Seroius Very Serious Extremely Serious Frequent M H VH B B Likely M H VH VH B Unlikely M M H VH VH Remote L M M H VH Not

Significant Minor Seroius

Very Serious Extremely Serious Frequent M H VH B B Likely M H VH VH B Unlikely M M H VH VH Remote L M M H VH Not

Significant Minor Seroius Very Serious Extremely Serious Frequent M H VH B B Likely M H VH VH B Unlikely M M H VH VH Remote L M M H VH Not

Significant Minor Seroius Very Serious Extremely Serious Frequent M H VH B B Likely M H VH VH B Unlikely M M H VH VH Remote L M M H VH

O

Entity Level Risk Heat Maps

UK Internal Capital

Adequacy Assessment

Process (ICAAP)

Control Plans

Local Regulatory Capital

O

Consolidated Group Level

Risk Heat Map

Risk quantification process (Solvency II)

£

€

Capital Charge

Internal Audit

Control Plan

Operational Risk

Reviews

Local Compliance

Control Plans

Supplements the

existing top down

assessment carried our

through extensive

interviews across the

business

Input to the annual control planning

process (discretionary reviews).

Bases of local capital assessment

process

Not

Significant Minor Seroius

Very Serious Extremely Serious Frequent M H VH B B Likely M H VH VH B Unlikely M M H VH VH Remote L M M H VH Not

Significant Minor Seroius Very Serious Extremely Serious Frequent M H VH B B Likely M H VH VH B Unlikely M M H VH VH Remote L M M H VH Not

Significant Minor Seroius Very Serious Extremely Serious Frequent M H VH B B Likely M H VH VH B Unlikely M M H VH VH Remote L M M H VH Not

Significant Minor Seroius Very Serious Extremely Serious Frequent M H VH B B Likely M H VH VH B Unlikely M M H VH VH Remote L M M H VH 5

Cartographie des risques opérationnels au niveau d’un fonds

6

Equity Fixed

Income OPC Derivatives

4.1.1

09. investment guidelines risk

Breach of client guidelines Yes Yes Yes Yes Standard pre trade and post trade process via the

tool SENTINEL Possible 1 Low

4.3.2

09. investment guidelines risk

Breach of regulatory guidelines Yes Yes Yes Yes Standard pre trade and post trade process via the

tool SENTINEL Possible 1 Low

4.4.1 04. process

execution risk Trading with unauthorised broker / counterparty Yes Yes Yes Yes Standard process Unlikely 1 Low

4.4.4 04. process

execution risk Non respect of best execution process Yes Yes Yes Yes

Standard process. Monitoring done by Compliance

No incident reported in 2014 Unlikely 1 Low

… … … …

4.5.3 04. process execution risk

Tariff error, inadequate commissions or fees (incl.

Performance & management fees) N.A. N.A. N.A. N.A.

Standard fee process performed by SGSS, and

controlled by AXA IM Finance. Unlikely 2 Low

6.1.1 05. system risk

IT system outage, disruptions, failure and downtime (including system capacity shortfall) due to aging IT infrastructure

N.A. N.A. N.A. N.A.

ISSUE production incidents in 2014 : Balanced & Index funds monitoring in Balanced Tool No risk: issue on limited time and risk indicators monitored by Fund Manager on 1st level

Probable 1 Medium Likelihood Impact level Rating 2014 Instruments L3 AXA Ref. Risk Universe

sub category Risk Description / assessment of the situation

Cartographie des risques d’investissement au niveau d’un fonds

7

Matrices illustratives de risques d’investissement pouvant affecter un fonds

Risk type

Illustrative Risk measures

Delta / Mdur

Single name

Sector

Country

Credit Quality

Exposure with addon

Eligibility

Collateral (ISDA/CSA)

Exposure

Actif / Passif

Stress test

Credit

Liquidity

Ctpty Risk

Risk type

Illustrative Risk measures

Delta / Mdur

Inflation

Delta

single name

Sector

Country

Market risk - FX

Delta

Market risk - Implied Vol

Vega

Ex-ante volatility/VaR

Stress test

Market risk - Rate

Market risk - Equity

Market risk - Portfolio

Level

Gouvernance et suivi du respect de la politique de gestion des risques

par les instances dirigeantes

8



Exemple de reportings revus en comité Risque

– Reporting des fonctions de contrôles: Risque et conformité, – Reporting de la sécurité informatique

– Reportingdes dépassements des limites d’investissements (règlementaire, client, interne)

– Reportingdes incidents (impact, plan d’action de réduction du risque de récurrence, profil de risque vs cartographie) – Reporting des « plaintes » clients