ABSA GROUP
“ We started the project in 2019 , which included a migration of our value-at-risk ( VaR ) engine .”
VaR is a vital metric for assessing risk within Absa ’ s trading book , as well as exposures crucial for internal risk management and regulatory reporting purposes in compliance with the current regulatory framework .
Looking ahead , Renzi anticipates changes with the implementation of FRTB : “ In approximately a year ’ s time , as we transition to FRTB , the VaR calculation will no longer be mandatory for regulatory compliance . We will , however , continue to utilise it for risk management purposes .
“ We ’ ll be using the FRTB Standardised Approach for our regulatory capital reporting , which is more of a sensitivitybased risk management approach .”
Building its own functionality One of many areas where Absa has been excelling in recent years is in the development of its own functionality .
This is being achieved through a fruitful combination of in-house development and strategic partnerships with technology vendors and fintech firms .
It ’ s a hybrid approach that is allowing Absa to leverage internal expertise while bringing in external resources to create effective solutions .
Renzi once again references the decision taken by the organisation to invest in building its own risk and pricing engines , adding : “ Building proprietary technology solutions and functionality internally to address our individual and specific business needs is really important to us .
“ Other banks are product-centric , whereas we ’ ve tried to move to a more customercentric focus ”
LOREDANA RENZI MARKET RISK COO , ABSA GROUP
“ With the risk and pricing system , we felt like we had the expertise internally rather than externally , although we did bring in consultants to bolster some of the teams and get the work over the line .
“ But , from an in-house perspective , we like to run and drive all of the projects ourselves . We want to give our colleagues the opportunity to work on these projects and develop their skills as opposed to bringing in consultants to do all the work .” Renzi is , however , keen to praise the tech vendors , fintech firms and consulting giants – such as Deloitte and PwC – who are all too happy to offer up their industry knowledge , experience and expertise when required .
“ We can ’ t execute this level of work without our strategic partners ,” she continues . “ For instance , we collaborate extensively with Deloitte due to their deep experience and expertise in the regulatory domain .
“ Our strategic partnerships allow us to accelerate the development and implementation of cutting-edge technology
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