Risk Management and Assessment

Tema's Business Line "Risk Evaluation Models and Methodologies", whose responsibility lies with Sergio Sampaolesi  has developed its own Risk Management Model that adopts risk analysis and assessment methodologies that are distinguished by type of business of the intermediary (Bank, SGR GEFIA Real Estate, SGR GEFIA Private Equity, SICAF, SIS, SIM and Financial Intermediaries).

The Business Line can boast professional experience in the Risk Management of international banks subject to the EU Directive 36/2013 (CRDIV) and the EU Regulation 575/2013 (CRR). 

All the services offered follow a risk-based approach that involves the execution of company risk mapping, check-ups and gap analysis aimed at ascertaining the potential risks of the company on the basis of its RAF (Risk Appetite Framework as a whole or of a specific investment service/business branch, with particular regard to its ability to consciously self-determine its level of sustainability of company objectives.

The Business Line supports the drafting of the ICAAP process (including the annual report) and the implementation of the requests of the Supervisory Authorities (SREP) and the analysis of the impact on the package of measures relating to prudential capital requirements for banks adopted on 16 April 2019 by the European Parliament.

  • New discipline for the so-called Intermediate Holding Company, 
  • Revision of the rules for measuring interest rate risk on the banking book 
  • Introduction of a new regulatory limit (3%) for the leverage ratio (Article 92)
  • Introduction of a new regulatory limit (18% RWA) for the aggregate of own funds + eligible liabilities and a regulatory limit to the leverage ratio (6.75%) linked to own funds + eligible liabilities (art. 92 bis for banks subject to resolution and part of GS II groups)
  • Regulatory limit of 90% of the two MREL requirements for significant subsidiaries of non-EU GSII banks subject to resolution (Art. 92b)
  • Overall revision of the rules on the calculation of the market risk requirement (Articles 92-104)
  • Special weighting (35%) for loans to pensioners and permanent employees
  • Revision of the calculation criteria for exposures to CIUs (Article 132)
  • Overall revision of the rules on calculating the requirement for counterparty and CVA risk (Articles 272-282 + 385) 
  • Capital adequacy requirement for exposures to central counterparties (art. 300)
  • Revision of the market risk calculation method (art. 325)
  • Revision of the CVA risk calculation method (Art. 325)
  • Regulatory limit on a stable funding ratio (Net Stable Funding - Articles 428 bis et seq.) of 100%.
  • Specific reporting requirements for loans secured by real estate (Article 430a)
  • Revision of the rules on public disclosure (art. 431).