On May 4, 2017, the NHC Risk Salon’s final session was held in the Deloitte building and concentrated on the Marketing Risk Reporting & Analytics, with previous sessions covering Market Risk Governance, Market Risk Measurement and Market Risk Management.
For session 4, the organizers invited a team of experts representing three different banks: Miao Guo, (Senior Manager, Capital Markets Risk Management, TD); Zhou Ye (Director, Risk Models, BMO); and Devin Luo, (Director, Enterprise Market Risk, RBC). The panel was moderated by Dmitri Rubisov, Managing Director, BMO Capital Markets.
This session was slightly different from the previous three, as the presentation was split in two parts. The first part was delivered by Miao Guo; the second part was presented by Zhou Ye. As usual, the session was concluded by a panel discussion where the presenters were joined by Devin Luo and Dmitri Rubisov. Miao Guo’s presentation painted a big picture of the market risk analytics, while also delving into the common management metrics. She also talked about the challenges of reporting and analytics, including the complexity in model development and daily production investigations. The Fundamental Review of the Trading Book (FRTB) was also described because it shapes the future of market risk reporting and analytics. Miao’s brief introduction of FRTB emphasized the importance of market data, as the increase in intensity of capital calculation under the new paradigm leads to an exponential increase in the amount of processed data.
Zhou Ye expounded the session’s topic to the roles and responsibilities of reporting & analytics teams, such as distributing reports, presenting and monitoring market risk exposures and conducting requested real-time analysis. She also emphasized the importance to meet various stakeholders’ needs when performing risk analysis. In particular, she stressed the importance of timely and accurate replies to customers’ requests. In her opinion, data visualization plays a critical role in this area, and risk reports and commentary should be neat and straightforward. Zhou further elaborated on data visualization techniques with several examples drown from VaR reporting.
Following the presentations, there were a panel discussion and a Q&A session. The first question asked was whether there is a specific procedure in place for handling exceptions (breaches), a concept mentioned in Miao’s presentation. Miao responded by explaining specific handling of the situation when VaR limits are breached. It includes back test analysis, and the first thing in the back test analysis is to establish whether the breach is legitimate or it was caused by incorrect data or model errors. It was further elaborated that there is another category of breaches: limit breaches, that should also be thoroughly investigated because they bear serious consequences for the trader, whose book breached the limit. Devin Luo was asked about the landscape of market risk analytics. In his opinion, the market data teams are getting increasingly important, and their teams have been expanding at RBC in the last few years. This reply also echoed one of the points in Miao’s presentation.
Responding to questions about career development, Devin emphasized the importance of networking. He shared his own story and how his follow-up interactions after the interviews might have an impact on his employment opportunities. Miao supported this and also mentioned that it is crucial to build a good reputation because the Canadian financial industry is very small and employers can easily track past work performance. Zhou added her opinion that technical skills, such as Excel, SQL and VBA, contribute to a successful career in market risk management.
After the two-hour session, the NHC Risk Salon 2017 came to its closure. Lisa Li, the lead of the event, extended her sincere gratitude to distinguished guest speakers, NHC leadership Team(Lian, Alan, Echo, Linna, Vivi), dedicated Risk Salon facilitators (Roy, Yatong, Jessi, Emma, Halsy, Lily, Muse, Di), and the audience for their joint efforts in making this season’s NHC Risk Salon a great success.