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GARP
Benchmarking
Initiative (GBI)


Addressing the need to conduct global systemic risk studies in a rapidly changing and interconnected marketplace.

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GBI_Overview_Hypothetical

HYPOTHETICAL EXERCISES

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STRESS TESTING

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QUANTITATIVE IMPACT STUDIES

The Problem

The need for regular global financial risk studies presents material challenges. Cross-border issues, legal considerations, data gathering complexities and consistency and speed of analysis, among other things, all affect systemic risk studies. This is an especially difficult proposition if the implementation process has to be reinvented for each study.

GBI addresses these issues by providing an independent, non-partisan platform from which to conduct cross-border, regional or other studies in an efficient, secure and accurate way.

Highlights

  • Established in 2012
  • GBI data processing meets NIST Cybersecurity Standards
  • Study participation from over 110 financial services firms, including
    • Over 70 banks (GSIBs and large, internationally active)
    • Over 35 asset management firms
    • Global participation (link to full list of GBI firms)
  • Over 70 quantitative and qualitative studies completed, including
    • 8 Total Capital Impact (Basel III Revision) Studies
    • 13 FRTB Studies
    • 10 CVA Studies
    • 8 Counterparty Credit Risk Studies
    • 5 EBA Benchmark Portfolio Studies
    • Other study topics include liquidity risk, leverage ratio, Net Stable Funding Ratio, asset management issues, climate risk, third party risk management.

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Featured GBI Studies

  • Investment Grade Exposure Study - FSF BPI - US G-SIBs
    • Study type: Regulatory
    • Participating Institutions: 8
    • Data Provided:
    • Study Objective: The objective of the study is to drill down with some level of specificity into the impact of the “securities listing requirement” in the Basel III Finalization revisions. 

      Each participant's exposures are broken down according to banking book and trading book and then slotted into a few key obligor categories – regulated financial, e.g., banks, insurance companies, unregulated financials, regulated funds, e.g., mutual funds, unregulated funds, nonfinancial corporates and GSE.

      The data template identifies what fraction of exposure per obligor type is identified as investment grade and quantifies an upper bound on the impact of excluding any investment grade obligor without a “listed security”.
  • Total Capital Impact Study 2022 - UK
    • Study type: Regulatory
    • Participating Institutions: 8
    • Data Provided: Participating banks provide 2021 year-end data aligning to an augmented version of the BCBS data-collection workbook.
    • Study Objective: The study objectives are to assess the state of the industry under Basel III as of 2021 year-end and to explore the impacts of different varations on the UK-specific Basel III implementation.
  • Total Capital Impact Study 2021 - US G-SIB
    • Study type: Regulatory
    • Participating Institutions: 8
    • Data Provided: Participating banks provide their full Basel regulatory submissions according to the semi-annual QIS cycle.

      Participating banks also submitted off-cycle information for March 2020 for a mid-stream update due to Covid.
    • Study Objective: The objective of this study is to assess the impact of the Final Revised Basel capital framework on US G-SIB minimum regulatory capital requirements.  The study looks at the impact across all risk stripes with a more focused view on credit risk.

      Analysis results are compiled for 'current' standardized and advanced approaches to establish a baseline.  A number of scenario-based analyses are then compiled and variance statistics are generated relative to the baseline.

      The analysis covers the total amount of required capital, i.e., CET1 + buffers and surcharges, and incorporates a "what if" scenario involving the choice of G-SIB surcharge, global or US method II.

      Trend analysis related to the above is also prepared and covers the reporting period from, and including, December 2018 through, and including, December 2021.

Basel Pillar 3 Summary Charts

From several years of GBI studies related to Basel Quantitative Impact Studies, GBI has compiled a thorough repository of publicly-available Pillar 3 Disclosure data from banks all over the world. This data has been valuable for validation of study submissions and study results. With this data, GBI has aggregated and summarized key features of regulatory capital measures for banks.

  • GBI_Overview_baselpillar3_chart1
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