MaRisk Risk Management and Data Quality

MaRisk is a comprehensive risk management system in Germany that requires banks to have a robust risk management framework in place. This includes identifying, assessing, and mitigating various risks such as credit, market, and operational risks.

Effective risk management is crucial for banks operating in Germany, as it helps to ensure the stability of the financial system and protects customers' deposits. MaRisk provides a framework for banks to manage risks and maintain data quality.

MaRisk requires banks to establish a data quality management system to ensure the accuracy and reliability of their data. This includes implementing controls to prevent data errors and discrepancies.

Banks must also establish procedures for data collection, processing, and storage to maintain data quality. This includes ensuring that data is complete, accurate, and up-to-date.

Risk management is a crucial aspect of MaRisk, and institutions must establish appropriate processes to ensure material risks are identified, assessed, managed, and monitored. These processes should be factored into an integrated performance and risk management system.

Suitable measures to limit risks can include quantitative instruments, such as limit systems, and qualitative instruments, like regular risk analyses. Risks included in the internal capital adequacy approach are generally limited and monitored on the basis of an effective limit system.

Institutions should maintain data on exposures and associated collateral to support risk assessment, management, and monitoring. This includes data on collateral and the relationship between collateral and underlying transactions.

Risikoberichterstattung is a crucial part of modern risk management. It involves adjusting reports to accurately assess an institution's risk positions.

The MaRisk has undergone significant changes, making risk reporting more comprehensive and detailed for both CSRBB and IRRBB. This is necessary for a reliable risk assessment.

Internal risk transfers between the asset and trading books must be documented. This ensures transparency and helps identify potential risks.

The EBA/GL/2022/14 regulations still apply to risk reporting. Institutions must adhere to these guidelines to ensure accurate risk assessments.

Sicherungsgeschäfte, also known as Hedging, are used to reduce the risk of price fluctuations, interest rate changes, or currency exchange rate changes.

They are a crucial part of risk management for companies and investors, as outlined in the guidelines EBA/GL/2022/14.

Institutes should establish strategic guidelines to secure open interest rate risk positions and evaluate possible impacts.

A clear framework for managing interest rate risk in the banking book (IRRBB) should be created, including setting a willingness to take IRRBB risk.

The willingness to take IRRBB risk should be determined based on the risk of IRRBB measurement, and a clear concept for managing IRRBB should be established.

Potentially net interest income risks should be considered when setting the willingness to take IRRBB risk, and a framework for securing strategies and balance sheet instruments should be established.

Institutes should evaluate the potential effects of hedging on their financial situation, including the impact on their balance sheet and income statement.

Data quality is crucial in risk management, and institutions should maintain the data needed for appropriate risk assessment, management, and monitoring.

This includes data on collateral and on the relationship between collateral and the underlying transactions. Intra-group claims should also be duly taken into account in the risk management and risk control processes.

Suitable indicators should be derived for the early identification of risks and potential consequences across different types of risk. These indicators should be based on quantitative and/or qualitative risk features depending on the nature of the risk type concerned.

Risk reports on the risk situation, including existing risk concentrations, should be submitted to the management board at appropriate intervals. Material risk-related ad hoc information should be promptly passed on to the management board, the responsible officers, and the internal audit function when necessary.

The internal audit function should be informed whenever relevant risk-related shortcomings are identified, major loss or damage has been incurred, or there is a concrete suspicion that irregularities have occurred.

Deloitte unterstützt Kreditinstitute bei der Umsetzung der 8. MaRisk-Novelle. Sie bieten eine sorgfältige Überarbeitung und Anpassung des Umgangs mit Kreditspreadrisiken im Anlagebuch an.

Für Kreditinstitute ist eine sorgfältige Überarbeitung und Anpassung des Umgangs mit Kreditspreadrisiken im Anlagebuch erforderlich, um den aktualisierten regulatorischen Anforderungen zu entsprechen.

Deloitte unterstützt Kreditinstitute bei der Auswirkungsanalyse der neuen Anforderungen der 8. MaRisk-Novelle. Sie geben einen Überblick über die anwendbaren Vorschriften und sind Kreditinstituten bei der Umsetzung der neuen und bereits existierenden Anforderungen in ihrem Unternehmen behilflich.

Kreditinstitute können von Deloitte konkrete Handlungsempfehlungen zur 8. MaRisk-Novelle erhalten, sowie einen MaRisk-Poster.

Hier sind einige der Unterstützungsangebote von Deloitte:

MaRisk has a long history, dating back to 2002 when it was first introduced by the German Federal Financial Supervisory Authority (BaFin).

The first version of MaRisk was largely based on the Basel Capital Accord.

The first major update to MaRisk was in 2005, when it incorporated the International Accounting Standards (IAS) and the International Financial Reporting Standards (IFRS).

MaRisk has undergone several updates since then, with the most recent one being in 2019.

Credit risk is a significant concern for financial institutions, and MaRisk has introduced new guidelines to address it. The 8th MaRisk-Novelle introduces a new regulation, BTR 5, which changes how Kreditspreadrisiken are handled.

Kreditspreadrisiken arise when the general Kreditspread changes due to shifts in creditworthiness expectations, without affecting individual issuers. This type of risk can be categorized as part of credit risk, market price risk, or as a separate category, with the exact categorization being irrelevant.

Institutions must address the effects of Kreditspread changes within their risk management and control processes and determine the positions in the investment book that are subject to Kreditspreadrisiken.

Kreditspreadrisiken are a type of risk that arises when the general credit spread changes due to shifting creditworthiness expectations, without affecting the creditworthiness of individual issuers.

These risks can be viewed as part of credit risk, market price risk, or as a separate category, and the exact categorization doesn't matter according to regulatory guidelines.

The impact of credit spread changes needs to be addressed within risk management and control processes, and institutions must determine which positions in their investment portfolio are exposed to credit spread risks.

Pricing is a crucial aspect of credit risk management, and it's not just about setting a price for a loan. Pricing in MaRisk, for example, now includes business-economic must-have provisions, as stated in BTO 1.2 TZ. 9.

The conditions and pricing structure should take into account the risk appetite, business strategy, and the type of loans and borrowers. This means that lenders need to carefully consider these factors when setting prices.

Relevant costs and performance indicators, as outlined in EBA guidelines (Tz. 202, 203), should be weighed and monitored to ensure that the pricing structure is fair and effective.

To illustrate this, let's consider a simple example of a loan with various costs and performance indicators:

By considering these costs and indicators, lenders can create a pricing structure that balances their risk appetite with the needs of their borrowers.

Internal models are no longer limited to just addressing, market price, or operational risk. They now encompass all types of models.

In the past, internal models were a bit of a mystery, but now they need to be fully inventoried. This means that all internal models must be accounted for.

Every parameter, assumption, and data point behind an internal model must be thoroughly documented. This will ensure that all relevant information is readily available.

To give you a better idea, here are the key characteristics of internal models under the new guidelines: