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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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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

  • 2021 Climate Risk PD Benchmarking Study
    • Study type: Other
    • Participating Institutions: 8
    • Data Provided: Participants will each provide PD estimates for their own portfolio over the coming decades, delineated according to ratings.
    • Study Objective: To provide study participants with an aggregated industry view of potential future probability of default (PD) changes that could occur due to climate change. The initial exercise will review PD changes for oil and gas under the Disorderly NGFS scenario.
  • Total Capital Impact Study 2021 - US G-SIB
    • Study type: Regulatory
    • Participating Institutions: 8
    • Data Provided: Participating banks provided their 2020 YE full regulatory capital submissions according to the BCBS data collection workbook.
    • Study Objective: The objective of the study is to update the results generated for the TCI studies conducted in 2019 and 2020.
  • CRR3 Total Capital Impact Study - EU
    • Study type: Regulatory
    • Participating Institutions: 13
    • Data Provided: Participating banks provide 2020 year-end data aligning to an augmented version of the EU-specific BCBS data-collection workbook.
    • Study Objective: The study objectives are to assess the state of the industry under Basel III as of 2020 year-end and to understand the impact of updates published in the CRR3 proposal.

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.

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Risk Snapshots

Risk Snapshots are data‐driven insights on key topics and issues impacting risk managers globally. These insights are based on proprietary information gathered by the GARP Benchmarking Institute (GBI).

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