Where should other assets that have not been slotted into a particular portfolio, such as asset management, be accounted for in the QIS-4 spreadsheets?
(January 24, 2005) Answer: Unlike the process for QIS-3, for QIS-4 we ask banks to incorporate 100 percent of their assets into the workbook on a best-efforts basis. For those assets that do not fall under any particular portfolio using a probability of default (PD)/loss given default (LGD) matrix, we suggest placing these exposures under the section for “Other assets not subject to the PD/LGD framework” line item “All other assets” (line 115). In response to the particular query about asset management, banks’ risks associated with these activities should be incorporated into the operational risk charge (please refer to paragraph 654 of the June Mid-Year Text).
Related Questions
- Where should other assets that have not been slotted into a particular portfolio, such as asset management, be accounted for in the QIS-4 spreadsheets?
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- What assets does CDH Asset Management Limited mix in its portfolio?
