Three risks, three systems, three answers
Where each risk is measured in a typical mid-size institution, and on what basis.
Where each risk is measured
System of record, refresh frequency and the basis each one runs on
| Risk | Measured in | Refreshed | Basis |
|---|---|---|---|
| Credit | Credit engine | Monthly | Internal grades |
| Market | Front-office system | Daily | Market data |
| Liquidity | Treasury spreadsheet | Weekly | Contractual maturity |
Why it matters
Each of these is competently run. The problem appears only when someone asks a question that crosses them — and every question a board actually asks crosses them.
The question that has no owner
If the corporate book deteriorates and wholesale funding tightens in the same quarter, what happens to capital? Credit can answer half, treasury can answer half, and neither half was computed on the other's assumptions.