Benchmarking with Monte Carlo Plus

Following on from the Prudential Capital Requirements round table, Dr Mustafa Cavus, from Monte Carlo Plus, will be discussing how firms benchmark their prudential capital requirements, and will also look at firms’ use of peer benchmarking.

The June 2020 FCA publications on assessing adequate financial resources (FG 20/1) and the proposed approach to the new prudential regime (DP 20/2) represent a significant change for assessing firms’ capital requirements. The new K-factor approach means that firms have to compute K-factors from risks to clients, to markets and to the firm. The new Pillar 1 capital requirement for investment and brokerage firms is then the higher of the sum of the K-factors or the fixed overhead requirement (FOR). For Pillar 2, the capital requirement has been left relatively unchanged. The challenge, however, is how firms can benchmark in the new Pillar 1 regime. Similarly, if for Pillar 2 we have only risk scenarios (for which there exist little data) as the basis for capital requirement, how can firms peer benchmark their assumptions? This video conference will provide some examples of how firms can tackle both challenges.

This is part of a series of round tables in conjunction with Monte Carlo Plus. If you would like to attend this video conference, or any others in the series please email: events@thebrokerclub.org